Lawrence R. Glosten

Overview

Lawrence R. Glosten is a financial economist (Columbia Business School) best known for foundational work in market microstructure — the Glosten-Milgrom (1985) model of the bid-ask spread under asymmetric information — as well as contributions to empirical asset pricing.

Key Contributions / Features

• GJR-GARCH (Glosten-Jagannathan-Runkle 1993): co-developed the asymmetric GARCH-in-mean model and the negative conditional risk-return finding (GARCH).
• Glosten-Milgrom (1985): the sequential-trade model of the bid-ask spread as compensation for adverse selection.

Related

• GARCH and BEKK-GARCH
• Risk-Return Tradeoff
• Ravi Jagannathan
• David E. Runkle
• Glosten-Jagannathan-Runkle (1993) On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks