... informa-tion and inventory effects, λ, ranges from a low of 1.9% of the traded spread for ATT to a high of 22.3% of the traded spread for 3M. The remaining part of the traded spread, 98.1% and ... indicator model to estimate the components of the bid-ask spread for three categories of trade size. We find that the components of the spread are a function of the trade size.Another issue easily ... Hill, Uni-versity of Southern California, Vanderbilt University, and the 1995 AsianPacific Finance Association Conference. We are also grateful to Ravi Jagan-nathan (the editor) and two anonymous...