Details about Lawrence R Glosten

Access statistics for papers by Lawrence R Glosten.

Last updated 2026-10-06. Update your information in the RePEc Author Service.

Short-id: pgl107

Working Papers

2024

1. Nonstandard errors
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (5)
   Also in Working Papers, Lund University, Department of Economics (2021)
   See also Journal Article Nonstandard Errors, Journal of Finance, American Finance Association (2024) View citations (21) (2024)

Journal Articles

2024

1. Nonstandard Errors
   Journal of Finance, 2024, 79, (3), 2339-2390 View citations (21)
   See also Working Paper Nonstandard errors, LSE Research Online Documents on Economics (2024) View citations (5) (2024)

2021

2. ETF Activity and Informational Efficiency of Underlying Securities
   Management Science, 2021, 67, (1), 22-47 View citations (54)

2019

3. Tail expectation and imperfect competition in limit order book markets
   Journal of Economic Theory, 2019, 183, (C), 661-697 View citations (9)

2017

4. High†Frequency Trading and the New Stock Market: Sense And Nonsense
   Journal of Applied Corporate Finance, 2017, 29, (4), 30-44

2005

5. A Reconsideration of Tax Shield Valuation
   European Financial Management, 2005, 11, (4), 453-461 View citations (46)

1994

6. Is the Electronic Open Limit Order Book Inevitable?
   Journal of Finance, 1994, 49, (4), 1127-61 View citations (480)

1993

7. On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
   Journal of Finance, 1993, 48, (5), 1779-1801 View citations (4167)

1989

8. Insider Trading, Liquidity, and the Role of the Monopolist Specialist
   The Journal of Business, 1989, 62, (2), 211-35 View citations (190)

1988

9. Estimating the components of the bid/ask spread
   Journal of Financial Economics, 1988, 21, (1), 123-142 View citations (452)

1987

10. Components of the Bid-Ask Spread and the Statistical Properties of Transaction Prices
    Journal of Finance, 1987, 42, (5), 1293-1307 View citations (132)

1985

11. Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
    Journal of Financial Economics, 1985, 14, (1), 71-100 View citations (2590)