Corwin-Schultz Bid-ask Spread Estimator in the Brazilian Stock Market
This paper tests the validity of the Corwin-Schultz bid-ask spread estimator in the Brazilian stock market. The Corwin-Schultz estimator arises as an easy way to compute asymmetric information throughout daily high and low stock prices for estimating overnight and non-negative adjusted spreads. Th...
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| Format: | Article |
| Language: | English |
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Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD)
2016-01-01
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| Series: | BAR: Brazilian Administration Review |
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| Online Access: | http://www.anpad.org.br/periodicos/arq_pdf/a_1701.pdf |