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The adverse selection cost component of the spread of Brazilian stocks

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The adverse selection cost component of the spread of Brazilian stocks

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The Adverse Selection Cost Component of the Spread of Brazilian Stocks

Araújo, Gustavo Silva; Barbedo, Claudio Henrique da … - Central Bank of Brazil, Research Department - 2011

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...

Persistent link: https://www.econbiz.de/10009364986