Shino Takayama

University of Sydney Business School

Cnr. of Codrington and Rose Streets

Sydney, NSW 2006

Australia

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Price, Trade Size, and Information Revelation in Multi-Period Securities Markets

Journal of Financial Markets, Vol. 13, No. 1, 2010
Number of pages: 35 Posted: 31 May 2006 Last Revised: 25 Apr 2015
Han N. Ozsoylev and Shino Takayama
Ozyegin University and University of Sydney Business School
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Abstract:

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Market microstructure, Glosten-Milgrom, Price formation, Sequential trade, Asymmetric information, Trade size, Bid-ask spreads