Corwin-Schultz Bid-ask Spread Estimator in the Brazilian Stock Market Outros Idiomas

ID:
41004
Resumo:
This paper tests the validity of the Corwin-Schultz bid-ask spread estimator in the Brazilian stock market. The Corwin-Schultz estimator arises as an easy way to compute asymmetric information throughout daily high and low stock prices for estimating overnight and non-negative adjusted spreads. The sample consisted of Ibovespa firms from 1986 to 2014 and was analysed with time series econometrics. The findings show that the measures of spread have stationarity properties, allowing for forecasting in a period of lagged variables, besides having the property of time-varying cointegration with market-to-book ratio, debt on equity, size and return and also presenting sensibility to different periods, industries and listing segments. Thus, the Corwin-Schultz bid-ask spread estimator seems to be a valid and reliable measure for forecasting aggregate-data variables through the weighted average of firm-level variables.
Citação ABNT:
RIPAMONTI, A.Corwin-Schultz Bid-ask Spread Estimator in the Brazilian Stock Market . Brazilian Administration Review, v. 13, n. 1, p. 76-97, 2016.
Citação APA:
Ripamonti, A.(2016). Corwin-Schultz Bid-ask Spread Estimator in the Brazilian Stock Market . Brazilian Administration Review, 13(1), 76-97.
DOI:
http://dx.doi.org/10.1590/1807-7692bar2016150036
Link Permanente:
http://www.spell.org.br/documentos/ver/41004/corwin-schultz-bid-ask-spread-estimator-in-the-brazilian-stock-market-/i/pt-br
Tipo de documento:
Artigo
Idioma:
Inglês
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