Arbeitspapier
Estimation of trading costs: Trade indicator models revisited
It is a stylized fact that trade indicator models (e.g. Madhavan, Richardson, and Roomans (1997) and Huang and Stoll (1997)) underestimate the bid-ask spread. We argue that this negative bias is due to an endogeneity problem which is caused by a negative correlation between the arrival of public information and trade direction. In our sample (the component stocks of the DAX30 index) we find that the the average correlation between these variables is -0.193. We develop modified estimators and show that they yield essentially unbiased spread estimates.
- Sprache
-
Englisch
- Erschienen in
-
Series: CFR Working Paper ; No. 14-09
- Klassifikation
-
Wirtschaft
Information and Market Efficiency; Event Studies; Insider Trading
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
trade indicator model
information asymmetry
spread estimation
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Theissen, Erik
Zehnder, Lars Simon
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Cologne, Centre for Financial Research (CFR)
- (wo)
-
Cologne
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Theissen, Erik
- Zehnder, Lars Simon
- University of Cologne, Centre for Financial Research (CFR)
Entstanden
- 2014
Ähnliche Objekte (12)
High-frequency trading and institutional trading costs
Pose estimation revisited
Pose Estimation Revisited
Accrual components and stock trading costs
The Social Costs of Side Trading
Trading firms and trading costs in services: The case of Sweden
Speculative trading, prospect theory and transaction costs
The fiscal costs of financial instability revisited
The fiscal costs of financial instability revisited
Electric vehicles revisited: Costs, subsidies and prospects
Competition, fragmentation and transaction costs in securities trading
Abatement Costs vs. Compliance Costs in Multi-Period Emissions Trading - The Firms' Perspective
High-frequency trading and institutional trading costs
Pose estimation revisited
Pose Estimation Revisited
Accrual components and stock trading costs
The Social Costs of Side Trading
Trading firms and trading costs in services: The case of Sweden
Speculative trading, prospect theory and transaction costs
The fiscal costs of financial instability revisited
The fiscal costs of financial instability revisited
Electric vehicles revisited: Costs, subsidies and prospects
Competition, fragmentation and transaction costs in securities trading
Abatement Costs vs. Compliance Costs in Multi-Period Emissions Trading - The Firms' Perspective
High-frequency trading and institutional trading costs
Pose estimation revisited
Pose Estimation Revisited
Accrual components and stock trading costs
The Social Costs of Side Trading
Trading firms and trading costs in services: The case of Sweden
Speculative trading, prospect theory and transaction costs
The fiscal costs of financial instability revisited
The fiscal costs of financial instability revisited
Electric vehicles revisited: Costs, subsidies and prospects
Competition, fragmentation and transaction costs in securities trading