Credit rating and adverse selection cost

• Main Authors: Ocvia Freriana, Nancy, Melisa Hendrawati
• Other Authors: Charoenwong, Charlie
• Format: Final Year Project
• Published: 2008
• Subjects: DRNTU::Business::General::Economic and business aspects
• Online Access: http://hdl.handle.net/10356/10366
• Institution: Nanyang Technological University

This report examines the impact of issuer rating changes on adverse selection components of the bid ask spread. In order to obtain the value of adverse selection components, we make use of four spread decomposition models, i.e., Glosten and Harris (1988), Lin et al. (1995), Madhavan et al. (1997), a...