Lin, Ji-Chai; Sanger, Gary C; Booth, G Geoffrey - In: Review of Financial Studies 8 (1995) 4, pp. 1153-83
The relation between theorized components of the bid-ask spread and trade size for a sample of NYSE firms is examined. We find that the adverse selection component increases uniformly with trade size. Conversely, order processing costs decrease with increases in trade size for all but the...