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Trade Size and Components of the Bid-Ask Spread Ji-Chai Lin Gary C. Sanger G. Geoffrey carrell Louisiana State University The shake up act amidst theorized divisions of the bid-ask gap and spate size for a essay of big board firms is examined. We maintain that the uncomely selection chemical element increases uniformly with trade size. Conversely, hostel touch costs fall down with increases in trade dumbfound for all still the largest trades. We fancy that or&persistence decreases with trade size. The unfavorable selection component is highest at the beginning of the mean solar twenty-four hours and starting time-downest at the end of the day for all but the largest trades. Trades of NYSE firms executed on regional exchanges or NASDAQ contain a large site touch on cost component but no significant adverse information effect. A head teacher or specialist force a market for a security provides immediacy go to traders who want to transact promptly. To settle with the dealer for these services, traders pay comparatively high prices when purchasing or receive relatively low prices when selling shares of the security.

1 Early blend in on the bid-ask spread by Benston and Hagerman (1974), Demsetz (1968), Hamilton (1976), and Tinic (1972) examined the cross-sectional relation between quoted spreads We wish to thank both anonymous referees and Andrew Lo (the editor) for very useful suggestions in developing this manuscript. We in any case benefited from the comments of participants at the 1993 monetary Management connexion meeting and the discussant, capital of atomic number 25 Seguin, and participants at the 1994 American finance Association meeting and the discussant, Puneet Handa. password of facts correspondence and reprint requests to Ji-Chai Lin, incision of Finance, Louisiana State University, wand club Rouge, LA 70803. 1 In addition to income generated by the bid-ask spread, specialists in like manner realize revenues through duty profits. The Review of Financial Studies spend 1995 Vol. 8, none 4, pp. 1153-1183 © 1995 The Review of Financial Studies 0893-9454/95/$1.50 and...If you want to imbibe a full essay, order it on our website: Ordercustompaper.com

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