THERE HAS BEEN much discussion of a policy nature about the function of dealers in equity
securities markets, the efficiency of different methods of providing dealer services and the …

… Stoll 17 and Ho and Stoll 13 propose a model of the dealer that is based on the risk of holding
inventory. In this case, bid and ask prices are lowered after a dealer purchase in order to …

To what extent are the empirical regularities implied by market microstructure theories useful
in predicting the short-run behavior of stock returns? A two-equation econometric model of …

… For a given time horizon, one might expect the spread to be less under our multiperiod
model than under the one period model of Stoll (1978a) since the dealer has an opportunity …

A simple time-series market microstructure model is constructed within which existing models
of spread components are reconciled. We show that existing models fail to decompose the …

… Our approach is to apply a model of an individual dealer operating under return and
transactions uncertainty (Ho and Stoll 11) to the case of more than one dealer and the problem of …

THE GROWTH IN THE VOLUME of stock market activity and the increased sophistication of
investors has brought with it greater interest and activity in the related, albeit more …

… Our approach is to apply our model [Ho and Stoll (1979)] of an individual dealer operating
under return and transactions uncertainty to the case of more than one dealer and the …

… relations between stock index futures and the stock index, such as Stoll-Whaley (1990) and
Chan-Chan-Karolyi (1991). Stoll and Whaley find within the day that stock index futures lead …

… Ho and Stoll(l983) model quote setting in a competing dealer market from an inventory
perspective and compare the result to a model with a single specialist. Madhavan (1992) …