Farinós Viñas, J. E. García Martín, C. José Ibáñez Escribano, A. M.
Year of Publication:
[Journal:] Investigaciones europeas de dirección de la empresa (IEDEE) [ISSN:] 1135-2523 [Volume:] 15 [Year:] 2009 [Issue:] 2 [Pages:] 201-222
As theoretical microstructure models developed, several researches have empirically investigated the relevant role of transaction costs and its components in the stock market dynamics and their applications in several similar topics (corporate finance, market efficiency, etc.). Alternatively, empirical tests of these models has led to different results. In this paper, we perform a thorough study of a group of models with common characteristics. Specifically, we focus on models that estimate transaction cost components from price and/or return time series autocovariance.
bid-ask spread adverse selection cost time series return autocovariance