Takayama, Shino; Ozsoylev, Han - EconWPA - 2005
This paper studies how the trade size and the historical sequence of trades affect bid-ask spreads, investors’ trading …-off size below which informed traders never buy or sell, and that larger trade sizes have positive bid-ask spreads, while … relationship between bid-ask spreads and trade sizes and show that bid- ask spreads are monotonically increasing in trade sizes …