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Cited by 2,747

The DOI matches its Crossref record; 10 of the 10 references it cites were found in a registry or an index.

A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market

ROLL, RICHARD·1984·The Journal of Finance
DOI 10.1111/j.1540-6261.1984.tb03897.x
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Abstract

In an efficient market, the fundamental value of a security fluctuates randomly. However, trading costs induce negative serial dependence in successive observed market price changes. In fact, given market efficiency, the effective bid‐ask spread can be measured by where “cov” is the first‐order serial covariance of price changes. This implicit measure of the bid‐ask spread is derived formally and is shown empirically to be closely related to firm size.

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Crossref · 10.1111/j.1540-6261.1984.tb03897.x

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Metadata

Authors
ROLL, R.
Venue
The Journal of Finance
Publisher
Wiley
Published
1984-09
Volume
39
Issue
4
Pages
1127-1139
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/j.1540-6261.1984.tb03897.x
OpenAlex
W2158120228
Cited by
2,747
References
10
FWCI
12.38
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market. https://app.cochat.ai/papers/10.1111/j.1540-6261.1984.tb03897.x
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ROLL, R. (1984). A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1984.tb03897.x

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.