Using a novel dataset where all traders are identifiable, we examine trading in the shares of a major company on the London Stock Exchange before 1920. Our main finding is that bid-ask spreads increased in the presence of informed trades. However, we also find that spreads narrowed during...

This paper investigates the relation between liquidity and information-based trading in the context of an order-driven auction. A model similar in spirit to that of Easley et al. (1996) is used to determine how often new information occurs and how it influences the composition of orders...