Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 4 of 4 for “"adverse selection component"”.
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Do accruals exacerbate information asymmetry in the market?
… costs in the form of the bid-ask spread and its adverse selection component. I examine this impact both, in general, for all trading activity occurring for a firm over a continuous flow of information during the year and around the first release of accrual information for each quarter. The …
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Two Essays on Liquidity Essay I: Information Related Trading on Two Nearly Identical Options Essay II: The Importance of the Liquidity Premium in the Presence of Declining Transactions Cost
… and Pleiderer (1988), that the information component of spreads for index options should decline after ETF options were introduced. The method of George, Kaul and Nimalendran (1991) is used to estimate the adverse selection proportion of log quoted spread and revenue from quoted spread. …
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Two Essays on the Probability of Informed Trading
… asymmetry such as price impact of trades and adverse selection component of the spread is that, unlike these measures, it can be estimated for each quote, and thus can also be used to measure intra-day changes in informed trading and information asymmetry. In the second essay, I examine …
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Three essays on the cost components of the bid-ask spread
… essays. The first essay focuses on the adverse selection component of the bid-ask spread. A regime switching model applied to the trading process leads to a parsimonious model of the time-series evolution of the bid-ask spread in which market participants use trade data to answer the …