Price, trade size, and information in securities markets☆
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We would like to thank Larry Glosten, Joel Hasbrouck, Patricia Hughes, Seymour Smidt, Sheridan Titman, David Mayers (the referee), Clifford Smith (the editor) and seminar participants at the California Institute of Technology, the University of Chicago, Cornell University, and New York University for helpful comments. This research was supported by National Science Foundation Grants No. IST-8406457, IST-8510031, and IST-8608964.
Copyright © 1987 Published by Elsevier B.V.