Trade Size and Components of the Bid-Ask Spread
作者： Ji-Chai Lin , Gary C. Sanger , G. Geoffrey Booth
DOI: 10.1093/RFS/8.4.1153
关键词: Economics 、 Information effect 、 Order processing 、 Bid–ask spread 、 Sample (statistics) 、 Adverse selection 、 Cost component 、 Order (exchange) 、 Financial economics 、 Nominal size
摘要: The relation between theorized components of the bid-ask spread and trade size for a sample of NYSE firms is examined. We find that the adverse selection component increases …
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