Is the Adverse Selection Component Really Higher on the NYSE/Amex than on the Nasdaq?
重新检验了纽交所/美交所与纳斯达克股票买卖价差中逆向选择成分的大小，发现纳斯达克股票的逆向选择成本实际上更高，这对理解不同市场的信息生产和交易成本有重要意义。
Affleck–Graves, Hegde and Miller (1994) find that the adverse selection component of the bid–ask spread is higher for NYSE and Amex stocks than for Nasdaq stocks. Using the model of Huang and Stoll (1997), we revisit their study and find the opposite to be true – the adverse selection component is actually higher for Nasdaq stocks than for NYSE and Amex stocks. The economic magnitude of this additional adverse selection cost is very significant. Our results have important implications for the understanding of information production in dealer versus auction markets, and the costs of trading on such markets.