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...

Descrición completa

Detalles Bibliográficos

Autor Principal:	Alexandre Ripamonti
Formato:	Artigo
Idioma:	Inglês
Publicado:	Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD) 2016-01-01
Series:	BAR: Brazilian Administration Review
Assuntos:	Corwin-Schultz bid-ask spread estimator; asymmetric information; market microstructure; time varying cointegration.
Acceso en liña:	http://www.anpad.org.br/periodicos/arq_pdf/a_1701.pdf
Tags:	Engadir etiqueta Sen Etiquetas, Sexa o primeiro en etiquetar este rexistro!