Information asymmetry and the bid-ask spread: evidence from the UK
Andros Gregoriou, Christos Ioannidis, L Skerratt
Economics, Finance and Entrepreneurship
The generally accepted factors that determine the bid‐ask spread are volatility, trading volume and market value (Atkins and Dyl, 1997; Glosten and Harris, 1988; and Menyah and Paudyal, 2000). Following Kim and Verrecchia (1994) we include a measure of the disagreement in analysts' earnings forecasts in our model of the bid ask spread. This measure serves as a proxy for the informational disadvantage of market makers with respect to informed traders. Market makers respond to the additional risk by increasing the bid‐ask spread. We find that the disagreement amongst analysts is significant for horizons up to and including six months (and with the hypothesised sign) in explaining FTSE 100 company spreads, rendering strong empirical support for our model.
Journal of Business Fnance and Accounting
https://doi.org/10.1111/j.0306-686X.2005.00648.x
10.1111/j.0306-686X.2005.00648.x
https://onlinelibrary.wiley.com/doi/full/10.1111/j.0306-686X.2005.00648.x
Dive into the research topics of 'Information asymmetry and the bid-ask spread: evidence from the UK'. Together they form a unique fingerprint.
Market Makers Business & Economics 100%
Bid/ask Spread Business & Economics 94%
Information Asymmetry Business & Economics 79%
Market Value Business & Economics 61%
Analysts' Earnings Forecasts Business & Economics 53%
Informed Traders Business & Economics 53%
Trading Volume Business & Economics 42%
Disadvantage Business & Economics 35%
Gregoriou, A., Ioannidis, C., & Skerratt, L. (2005). Information asymmetry and the bid-ask spread: evidence from the UK. Journal of Business Fnance and Accounting, 32(9-10), 1801-1826. https://doi.org/10.1111/j.0306-686X.2005.00648.x
Gregoriou, Andros ; Ioannidis, Christos ; Skerratt, L. / Information asymmetry and the bid-ask spread: evidence from the UK. In: Journal of Business Fnance and Accounting. 2005 ; Vol. 32, No. 9-10. pp. 1801-1826.
@article{c489ebf6d77f45cbbaf48d4d3768324f,
title = "Information asymmetry and the bid-ask spread: evidence from the UK",
abstract = "The generally accepted factors that determine the bid‐ask spread are volatility, trading volume and market value (Atkins and Dyl, 1997; Glosten and Harris, 1988; and Menyah and Paudyal, 2000). Following Kim and Verrecchia (1994) we include a measure of the disagreement in analysts{\textquoteright} earnings forecasts in our model of the bid ask spread. This measure serves as a proxy for the informational disadvantage of market makers with respect to informed traders. Market makers respond to the additional risk by increasing the bid‐ask spread. We find that the disagreement amongst analysts is significant for horizons up to and including six months (and with the hypothesised sign) in explaining FTSE 100 company spreads, rendering strong empirical support for our model.",
author = "Andros Gregoriou and Christos Ioannidis and L Skerratt",
doi = "10.1111/j.0306-686X.2005.00648.x",
journal = "Journal of Business Fnance and Accounting",
number = "9-10",
Gregoriou, A, Ioannidis, C & Skerratt, L 2005, 'Information asymmetry and the bid-ask spread: evidence from the UK', Journal of Business Fnance and Accounting, vol. 32, no. 9-10, pp. 1801-1826. https://doi.org/10.1111/j.0306-686X.2005.00648.x
Information asymmetry and the bid-ask spread: evidence from the UK. / Gregoriou, Andros; Ioannidis, Christos; Skerratt, L.
In: Journal of Business Fnance and Accounting, Vol. 32, No. 9-10, 2005, p. 1801-1826.
T1 - Information asymmetry and the bid-ask spread: evidence from the UK
AU - Gregoriou, Andros
AU - Ioannidis, Christos
AU - Skerratt, L
N2 - The generally accepted factors that determine the bid‐ask spread are volatility, trading volume and market value (Atkins and Dyl, 1997; Glosten and Harris, 1988; and Menyah and Paudyal, 2000). Following Kim and Verrecchia (1994) we include a measure of the disagreement in analysts' earnings forecasts in our model of the bid ask spread. This measure serves as a proxy for the informational disadvantage of market makers with respect to informed traders. Market makers respond to the additional risk by increasing the bid‐ask spread. We find that the disagreement amongst analysts is significant for horizons up to and including six months (and with the hypothesised sign) in explaining FTSE 100 company spreads, rendering strong empirical support for our model.
AB - The generally accepted factors that determine the bid‐ask spread are volatility, trading volume and market value (Atkins and Dyl, 1997; Glosten and Harris, 1988; and Menyah and Paudyal, 2000). Following Kim and Verrecchia (1994) we include a measure of the disagreement in analysts' earnings forecasts in our model of the bid ask spread. This measure serves as a proxy for the informational disadvantage of market makers with respect to informed traders. Market makers respond to the additional risk by increasing the bid‐ask spread. We find that the disagreement amongst analysts is significant for horizons up to and including six months (and with the hypothesised sign) in explaining FTSE 100 company spreads, rendering strong empirical support for our model.
UR - https://onlinelibrary.wiley.com/doi/full/10.1111/j.0306-686X.2005.00648.x
U2 - 10.1111/j.0306-686X.2005.00648.x
DO - 10.1111/j.0306-686X.2005.00648.x
JO - Journal of Business Fnance and Accounting
JF - Journal of Business Fnance and Accounting
IS - 9-10
Gregoriou A, Ioannidis C, Skerratt L. Information asymmetry and the bid-ask spread: evidence from the UK. Journal of Business Fnance and Accounting. 2005;32(9-10):1801-1826. https://doi.org/10.1111/j.0306-686X.2005.00648.x