RDP 8707: Asymmetric Information and Bid-Ask Spreads in the Eurocurrency Markets References

Amihud, Y. and H. Mendelson “Dealership Market: Market Making with Inventory”, Journal of Financial Economics, 1980, 8: 31–53.

Copeland, T.E. and D. Galai “Information Effects on the Bid-Ask Spread”, Journal of Finance, 1983, 38: 1457–1469.

Fama, E.F. “Forward and Spot Exchange Rates”, Journal of Monetary Economics, 1984, 14: 319–338.

Garman, M.B. “Market Microstructure “Journal of Financial Economics, 1976, 3: 257–275.

Glosten, L.R. and Milgrom, P.R. “Bid, Ask and Transaction Prices in a Specialist Market with heterogeneously Informed Traders”, Journal of Financial Economics, 1985, 14: 71–100.

Grossman, S.J. and Stiglitz, J.E. “On the impossiblity of Informationally Efficient Markets”, American Economic Review, 1980, 70: 393–408.

Hansen, L.P. and Hodrick, R.J. “Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis”, Journal of Political Economy, 1980, 88: 829–853. “

Hansen, L.P. and Hodrick, R.J. “Risk Averse Speculation in the Forward Exchange Market”, in Exchange Rates and International Macroeconomics, edited by J. Frenkel, University of Chicago Press, 1983: 113–152.

Ho, T and Stoll, H.R. “Optimal Dealer Pricing Under Transactions and Return Uncertainty”, Journal of Financial Economics, 1981, 9: 47–73.