A Dynamic Analysis of Bid-Ask Spreads with Multiple Trade Sizes
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References listed on IDEAS
- Hasbrouck, Joel, 1991. "Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, vol. 46(1), pages 179-207, March.
- Jones, Charles M & Kaul, Gautam & Lipson, Marc L, 1994. "Transactions, Volume, and Volatility," Review of Financial Studies, Society for Financial Studies, vol. 7(4), pages 631-651.
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More about this item
KeywordsMarket microstructure; insider trading; Glosten-Milgrom Model; asymmetric information; bid-ask spreads;
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-FMK-2005-11-09 (Financial Markets)
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