Araújo, Gustavo Silva; Barbedo, Claudio Henrique da S.; … - In: Emerging Markets Review 21 (2014) C, pp. 21-41
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., higher at the beginning and at the end of the day). In addition, we investigate the...