Fortin, Richard D.; Grube, R. Corwin; Joy, O. Maurice - In: Journal of Financial and Quantitative Analysis 24 (1989) 03, pp. 395-407
This paper examines the seasonal behavior of proportional dealer spreads for OTC NASDAQ common stocks. Results indicate there is seasonality in dealer spreads. Spreads tend to be larger in the second half of the calendar year, peaking in December. At the turn-ofthe-year, spreads tend to peak in...