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| Tekijä: | Ness, B.F. Van Ness, R.A. Van Warr, R.S. |
| Otsikko: | Is the adverse selection component really higher on the NYSE/Amex than on the Nasdaq? |
| Lehti: | Journal of Business Finance and Accounting
2002 : JUN-JUL, VOL. 29:5-6, p. 807-824 |
| Asiasana: | Adverse selection Stock markets Stock exchanges Market information Asymmetric information |
| Kieli: | eng |
| Tiivistelmä: | Affleck-Graves, Hedge and Miller (J. of Finance 49(1994)1471-88) found that the adverse selecxtion component of the bid-ask spread is higher for NYSE and Mex stocks than for Nasdaq stocks. Using the model of Huang and Stoll (J. of Fin. Econ. 41(1996)313-57), the authors revisit their study and find the opposite to be true - the adverse selection component is actually higher for Nasdaq stocks than additional adverse selection cost is very significant. The resukts have important implicationms for the understanding of information production in dealer versus auction markets, and the costs of trading on such markets. |
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