Dealer Bid‐Ask Quotes and Transaction Prices: An Empirical Study of Some AMEX Options
作者:
THOMAS S. Y. HO,
RICHARD G. MACRIS,
期刊:
The Journal of Finance
(WILEY Available online 1984)
卷期:
Volume 39,
issue 1
页码: 23-45
ISSN:0022-1082
年代: 1984
DOI:10.1111/j.1540-6261.1984.tb03858.x
出版商: Blackwell Publishing Ltd
数据来源: WILEY
摘要:
ABSTRACTThis paper, utilizing dealer's “trading book” information, presents some empirical evidence supporting the validity of a dealer pricing model. It shows that much of the transaction prices variation may be explained by the specialist's optimal determination of his bid and ask quotes. Furthermore, it demonstrates that the dealer's bid‐ask spread is an important explanatory variable in the observed transaction return. Finally, it indicates that the dealer's inventory level may affect his quotes and thus the transaction prices and order arrivals. The paper provides insights into the relationship between transaction prices and equilibrium prices, which will permit more extensive use of transaction data in empirical investigations. It also provides a better understanding of optimal dealer pricing strategies, suggesting that the proposed empirical model may be used to evaluate a dealer's trading perfor
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