FESE announces the winner of the Josseph de la Vega Prize 2017
(WorldNews Belgium)

Overestimated effective spreads: Implications for investors* Bjo¨rn Hagstro¨mer March 23, 2017 *Bjo¨rn Hagstro¨mer, Stockholm Business School, Stockholm University, and the Swedish House of Fi- nance. E-mail: bjh@sbs.su.se. I thank Jonathan Brogaard, Petter Dahlstro¨m, Albert Menkveld, Lars Norde´n, Andreas Park, and Patrik Sandås for helpful comments. Research funding from the Jan Wallander Founda- tion and the Tom Hedelius Foundation is gratefully acknowledged. Overestimated effective spreads: Implications for investors Abstract I show that the effective spread measured relative to the spread midpoint overstates the theoretical effective spread in markets with discrete prices and elastic...