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

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

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. Th...

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Bibliographic Details
Main Author:	Alexandre Ripamonti
Format:	Article
Language:	English
Published:	Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD) 2016-01-01
Series:	BAR: Brazilian Administration Review
Subjects:	Corwin-Schultz bid-ask spread estimator; asymmetric information; market microstructure; time varying cointegration.
Online Access:	http://www.anpad.org.br/periodicos/arq_pdf/a_1701.pdf

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