The adverse selection component for the bid-ask spread: A revision of its estimation models

The adverse selection component for the bid-ask spread: A revision of its estimation models

One of the main interests of market microstructure is the estimation of the bid–ask spread componentsfrom financial data, specially the adverse selection component given the implications of its own existence. As aresult, several empirical models based on price time–series statistical properties have...

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Bibliographic Details
Main Authors: ANA M.ª IBÁÑEZ, JOSÉ EMILIO FARINÓS VIÑAS, CONSTANTINO JOSÉ GARCÍA MARTÍN
Format: Article
Language:English
Published: Universidad del País Vasco (UPV/EHU) 2005-06-01
Series:Management Letters/Cuadernos de Gestión
Subjects:
market microstructure
insider trading
spread
adverse selection component
transaction cost
Online Access:http://www.ehu.es/cuadernosdegestion/revista/index.php/en/published-issues?y=2005&v=5&n=1&o=1

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