Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis

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dc.contributor.author Escribano, Álvaro
dc.contributor.author Pascual, Roberto
dc.contributor.author Tapia Torres, Miguel Ángel
dc.date.accessioned 2009-02-10T13:51:04Z
dc.date.available 2009-02-10T13:51:04Z
dc.date.issued 2004
dc.identifier.bibliographicCitation Journal of Banking and Finance, 2004, vol. 28, nº 1, p. 107-128
dc.identifier.issn 0378-4266
dc.identifier.uri http://hdl.handle.net/10016/2571
dc.description.abstract This paper studies the role that trading activity plays in the price discovery process of a NYSE-listed stock. We measure the expected information content of each trade by estimating its permanent price impact. It depends on observable trade features and market conditions. We also estimate the time required for quotes to incorporate all the information content of a particular trade. Our results show that price discovery is faster after risky trades and also at the extreme intervals of the session. The quote adjustment to trade-related shocks is progressive and this causes risk persistency and unusual short-term market conditions.
dc.format.mimetype text/plain
dc.format.mimetype application/pdf
dc.language.iso eng
dc.language.iso eng
dc.publisher Elsevier
dc.relation.isversionof http://e-archivo.uc3m.es/handle/10016/7276
dc.rights © Elsevier
dc.subject.other Microstructure
dc.subject.other Adverse selection costs
dc.subject.other Trade-related information
dc.subject.other High-frequency data
dc.title Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis
dc.type article
dc.type.review PeerReviewed
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1016/S0378-4266(02)00400-4
dc.subject.jel G1
dc.subject.eciencia Economía
dc.identifier.doi 10.1016/S0378-4266(02)00400-4
dc.rights.accessRights openAccess
dc.identifier.publicationfirstpage 107
dc.identifier.publicationissue 1
dc.identifier.publicationlastpage 128
dc.identifier.publicationtitle Journal of Banking and Finance
dc.identifier.publicationvolume 28
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