Trade Size and Components of the Bid-Ask Spread

Abstract

Journal Article Trade Size and Components of the Bid-Ask Spread Get access Ji-Chai Lin, Ji-Chai Lin Louisiana State University Address correspondence and reprint requests to Ji-Chai Lin, Department of Finance, Louisiana State University, Baton Rouge, LA 70803. Search for other works by this author on: Oxford Academic Google Scholar Gary C. Sanger, Gary C. Sanger Louisiana State University Search for other works by this author on: Oxford Academic Google Scholar G. Geoffrey Booth G. Geoffrey Booth Louisiana State University Search for other works by this author on: Oxford Academic Google Scholar The Review of Financial Studies, Volume 8, Issue 4, October 1995, Pages 1153–1183, https://doi.org/10.1093/rfs/8.4.1153 Published: 28 May 2015