The Journal of Finance publishes leading research across all the major fields of finance. It is one of the most widely cited journals in academic finance, and in all of economics. Each of the six issues per year reaches over 8,000 academics, finance professionals, libraries, and government and financial institutions around the world. The journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.
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REPLY
Published: 03/01/1973 | DOI: 10.1111/j.1540-6261.1973.tb01358.x
Hans R. Stoll
THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS
Published: 09/01/1978 | DOI: 10.1111/j.1540-6261.1978.tb02053.x
Hans R. Stoll
THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES
Published: 12/01/1969 | DOI: 10.1111/j.1540-6261.1969.tb01694.x
Hans R. Stoll
Inferring the Components of the Bid‐Ask Spread: Theory and Empirical Tests
Published: 03/01/1989 | DOI: 10.1111/j.1540-6261.1989.tb02407.x
HANS R. STOLL
The relation between the square of the quoted bid‐ask spread and two serial covariances—the serial covariance of transaction returns and the serial covariance of quoted returns—is modeled as a function of the probability of a price reversal, π, and the magnitude of a price change, ∂, where ∂ is stated as a fraction of the quoted spread. Different models of the spread are contrasted in terms of the parameters, π and ∂. Using data on the transaction prices and price quotations for NASDAQ/NMS stocks, π and ∂ are estimated and the relative importance of the components of the quoted spread—adverse information costs, order processing costs, and inventory holding costs—is determined.
Presidential Address: Friction
Published: 12/17/2002 | DOI: 10.1111/0022-1082.00259
Hans R. Stoll
The sources of trading friction are studied, and simple, robust empirical measures of friction are provided. Seven distinct measures of trading friction are computed from transactions data for 1,706 NYSE/AMSE stocks and 2,184 Nasdaq stocks. The measures provide insights into the magnitude of trading costs, the importance of informational versus real frictions, and the role of market structure. The degree to which the various measures are associated with each other and with trading characteristics of stocks is examined.
Spot and Futures Prices and the Law of One Price
Published: 12/01/1983 | DOI: 10.1111/j.1540-6261.1983.tb03833.x
ARIS PROTOPAPADAKIS, HANS R. STOLL
The law of one price (LOP) is tested for narrowly defined commodities traded in futures markets in different countries during the period 1973–80. Although the LOP holds as an average tendency for most of the commodities, there are instances of large riskless arbitrage returns (before transactions costs). Deviations from the LOP tend to be commodity specific rather than due to a common external factor and they tend to be smaller the longer the maturity of the futures contract.
On Dealer Markets Under Competition
Published: 05/01/1980 | DOI: 10.1111/j.1540-6261.1980.tb02153.x
THOMAS HO, HANS R. STOLL
The Dynamics of Dealer Markets Under Competition
Published: 09/01/1983 | DOI: 10.1111/j.1540-6261.1983.tb02282.x
THOMAS S. Y. HO, HANS R. STOLL
The behavior of competing dealers in securities markets is analyzed. Securities are characterized by stochastic returns and stochastic transactions. Reservation bid and ask prices of dealers are derived under alternative assumptions about the degree to which transactions are correlated across stocks at a given time and over time in a given stock. The conditions for interdealer trading are specified, and the equilibrium distribution of dealer inventories and the equilibrium market spread are derived. Implications for the structure of securities markets are examined.