Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/54482 
Erscheinungsjahr: 
2009
Quellenangabe: 
[Journal:] Investigaciones Europeas de Dirección y Economía de la Empresa (IEDEE) [ISSN:] 1135-2523 [Volume:] 15 [Issue:] 2 [Publisher:] Elsevier [Place:] Amsterdam [Year:] 2009 [Pages:] 201-222
Verlag: 
Elsevier, Amsterdam
Zusammenfassung: 
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.
Schlagwörter: 
bid-ask spread
adverse selection cost
time series return autocovariance
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