Information Asymmetry and the Bid‐Ask Spread: Evidence From the UK
在买卖价差模型中加入分析师盈利预测分歧度作为信息不对称的代理变量，发现该变量对FTSE 100公司价差有显著解释力，支持了模型。
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’ 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.