The adverse selection cost component of the spread of Brazilian stocks

Gustavo Araujo, Claudio Henrique da S. Barbedo and José Valentim M. Vicente

Emerging Markets Review, 2014, vol. 21, issue C, 21-41

Abstract: 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., higher at the beginning and at the end of the day). In addition, we investigate the relationships of the adverse selection cost with a firm's characteristics. We find that stocks listed in the highest corporate governance levels do not have the lowest costs. On the other hand, the liquidity of shares, the trade size and the market value of the firm are directly correlated with this cost.

Keywords: Adverse selection cost; Bid–ask spread; Corporate governance (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1566014114000429
Full text for ScienceDirect subscribers only

Related works:
Working Paper: The Adverse Selection Cost Component of the Spread of Brazilian Stocks (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:21:y:2014:i:c:p:21-41

DOI: 10.1016/j.ememar.2014.07.003

Access Statistics for this article

Emerging Markets Review is currently edited by Jonathan A. Batten

More articles in Emerging Markets Review from Elsevier
Bibliographic data for series maintained by Catherine Liu ().