Determinants of the components of bid‐ask spreads on stocks
修正了George等人估计买卖价差中逆向选择和订单处理成本成分的偏差，发现逆向选择成本平均约占价差的50%，远高于先前估计，并证明不同专家处理证券数量会影响逆向选择成本。
Abstract In this paper we show that George et al. (GKN, 1991) estimators of the adverse selection and order processing cost components of the bid‐ask spread are biased due to intertemporal variations in the bid‐ask spread. We use alternative estimators that correct this bias and that are applicable to individual securities, and estimate these cost components empirically using data on NYSE/AMEX stocks. As expected, our results indicate that on average adverse selection costs account for approximately 50% of the bid‐ask spread, sharply higher than the estimates of 8‐10% obtained by GKN for NASDAQ stocks and 21% that we obtain for NYSE/AMEX stocks using GKN's estimators. We then conduct cross‐sectional regressions designed primarily to determine whether adverse selection costs vary across specialists after controlling for firm size and other factors. Consistent with previously established hypotheses, we find that adverse‐selection costs vary across specialists, and that this variation is related to the number of securities that the specialist handles.