The Adverse Selection Cost Component of the Spread of Brazilian Stocks
This study analyzes the adverse selection cost component embedded in the spreads of Brazilian stocks. We show that it is higher than in the U.S. market and presents an intraday U-shape pattern (i.e., it is higher at the beginning and at the end of the day). In addition, we investigate the relationships of the adverse selection cost with firm’s characteristics. We find that stocks listed in the highest corporate governance levels do not have the lowest costs. On the other hand, the liquidity of shares, the trade size and the market value of the firm are directly correlated with this cost
Year of publication: |
2011-12
|
---|---|
Authors: | Araújo, Gustavo Silva ; Barbedo, Claudio Henrique da Silveira ; Vicente, José Valentim Machado |
Institutions: | Central Bank of Brazil, Research Department |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Araújo, Gustavo Silva, (2003)
-
Carteiras de Opções: Avaliação de Metodologias de Exigência de Capital no Mercado Brasileiro
Barbedo, Claudio Henrique da Silveira, (2004)
-
Barbedo, Claudio Henrique da Silveira, (2005)
- More ...