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Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
Journal of Financial Economics · 1985 · Vol. 14(1) · pp. 71–100
Lawrence R. Glosten✉(Northwestern University)Paul Milgrom(Yale University)
Financial Markets and Investment StrategiesCorporate Finance and GovernanceAuditing, Earnings Management, GovernanceAsk priceDatabase transactionBid priceBusinessTransaction costEconomicsMonetary economicsFinanceDatabaseComputer science
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References
The relationship between return and market value of common stocks
Journal of Financial Economics · 1981 · 6,072 citations
EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*
The Journal of Finance · 1970 · 15,646 citations
The Market for "Lemons": Quality Uncertainty and the Market Mechanism
The Quarterly Journal of Economics · 1970 · 22,315 citations
A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market
The Journal of Finance · 1984 · 2,760 citations
Efficient Capital Markets: A Review of Theory and Empirical Work
The Journal of Finance · 1970 · 13,039 citations
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