... appeared in The American Economic Review, The International Journal of Finance, The Journal of Banking and Finance, The Journal of Finance, The Journal of Financial Economics, The Journal of Financial ... vδis the volatility of the asset value (δ being the asset’s terminal payoff),R the risk aversion of the market maker, vz the volatility of noise trading, and nis the number of informed traders. ... be the result of the dramatic increase in prices in the 1990s. For the smallest quartile of firms, depth has increased from an average of 6,114 shares in 1988 to 6,555shares in 1996 and for the...