Senn, Erik-Jan - In: Junior Management Science (JUMS) 5 (2020) 2, pp. 197-208
This paper evaluates the impact of the Markets in Financial Instruments Directive II (MiFID II) regulation on information asymmetries. The microstructure models of Madhavan et al. (1997) and Glosten and Harris (1988) are adapted to estimate potential changes in the adverse selection component of...