Journal of Financial Economics Vol. 8 No. 2 1980

Trading costs for listed options

Susan M. Phillips^1,2; Clifford W. Smith^1,2

¹ University of Iowa · ² University of Rochester

Abstract

This paper reexamines the anomalous evidence concerning the efficiency of the listed options exchanges. We focus on the structure of trading costs in that market, and note several costs which generally have been ignored, the largest of which is the bid-ask spread. When we adjust the published trading rules for our estimates of these trading costs, the reported abnormal returns are eliminated.

DOI

10.1016/0304-405x(80)90016-1

Volume

8

Issue

2

Pages

179-201

Language

en

Sources

bibtex:phds-export.bib openalex crossref

Cite

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