RT Generic
T1 Adverse selection costs, trading activity and liquidity in the NYSE: an empirical analysis in a dynamic context
A1 Pascual, Roberto
A1 Escribano, Álvaro
A1 Tapia, Mikel
A2 Universidad Carlos III de Madrid. Departamento de Economía, 
AB This paper measures the adverse selection costs associated to a given trade by estimating its permanent impact on market quotes. This estimation depends on observable trade features and market conditions, and it is given by the impulse-response function of a generalization of theHasbrouck's (1991a,b) VAR model. It is evidenced that microstructure structural models of quote formation may introduce a downward bias in the estimation of adverse selection costs by assuming that trades only have an immediate impact on prices. Moreover, it is observed that the market behavior, in terms of liquidity and activity, in the short-term period after a trade depends on the information-asymmetry risk associated to that trade.
SN 2340-5031
YR 2000
FD 2000-12
LK https://hdl.handle.net/10016/7276
UL https://hdl.handle.net/10016/7276
LA eng
DS e-Archivo
RD 7 may. 2024