Bid, ask and transaction prices in a specialist market with heterogeneously informed traders-英文文献.pdf

Journal of Financial Economics 14 (1985) 71-100. North-Holland BID, ASK AND’ TRANSACTION PRICES IN A SPECIALIST MARKET WITH HETEROGENEOUSLY INFORMED TRADERS* Lawrence R. GLOSTEN NorrhwesrernUniuerslty, und University oj Chcago, Chicugo, IL 60637, USA Paul R. MILGROM Yale Unrversity, New Haven, CT 06520, US4 Received August 1983, final version received September 1984 The presence of traders with superior information leads to a positive bid-ask spread even when the specialist is risk-neutral and makes zero expected profits. The resulting transaction prices convey information, and the expectation of the average spread squared times volume is bounded by a number that is independent of insider activity. The serial correlation of transaction price dif- ferences is a function of the proportion of the spread due to adverse selection. A bid-ask spread implies a divergence between observed returns and realizable returns. Observed returns are approximately realizable returns plus what the uninformed anticipate losing to the insiders. 1. Introduction The usual economic view of markets is as a place where buyers and sellers come together and trade at a common price, the price at which supply equals demand. Securities exchanges are often singled out as excellent examples of markets that operate this way. In fact, however, trading on exchange