- Tytuł:
- An Econometric Analysis for the Bid-Ask Spread in the Emerging Chilean Capital Market
- Autorzy:
-
Cademartori-Rosso, David
Silva-Palavecinos, Berta
Campos-Espinoza, Ricardo
de la Fuente-Mella, Hanns - Powiązania:
- https://bibliotekanauki.pl/articles/565666.pdf
- Data publikacji:
- 2017
- Wydawca:
- Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
- Tematy:
-
Spread (Bid-Ask)
Econometric Modeling
IFRS
Information Asymmetry
Information Disclosure - Opis:
- The purpose of this paper is to show that different methods for calculating the spread (Bid-Ask) and the methods for annualizing intra-day data affect the results of econometric models. To achieve our goal, we analyze different econometric models in the context of: i) the International Financial Reporting Standards (IFRS) adoption, ii) the reduction of information asymmetry due to new corporate governance standards, and iii) the ownership concentration that characterize the Chilean Capital Market. We test the quality of the information delivered to the market using two information disclosure indices (DIS and Botosan). We find that the definition of spread and the methods for annualizing intraday data it is a key decision and may affect the statistical significance of the variables of a specific model.
- Źródło:
-
Journal of Banking and Financial Economics; 2017, 1(7); 90-101
2353-6845 - Pojawia się w:
- Journal of Banking and Financial Economics
- Dostawca treści:
- Biblioteka Nauki
Artykuł