Roll, Richard; Subrahmanyam, Avanidhar - In: Journal of Banking & Finance 34 (2010) 10, pp. 2562-2571
Bid-ask spreads in equities have declined on average but have become increasingly right-skewed. This finding holds across exchanges as well as size, price, and volume quartiles. Higher right-skewness is consistent with more competition among market makers; which may reduce cross-subsidization...