Credit rating and adverse selection cost

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...

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Bibliographic Details
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
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Institution:	Nanyang Technological University

id	sg-ntu-dr.10356-10366
record_format	dspace
spelling	sg-ntu-dr.10356-103662023-05-19T05:44:55Z Credit rating and adverse selection cost Ocvia Freriana Nancy Melisa Hendrawati Charoenwong, Charlie Nanyang Business School DRNTU::Business::General::Economic and business aspects 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), and Huang and Stoll (1997). We evaluate the impact of issuer rating changes by performing time series analysis, one sample t-test, and independent & paired samples t-test. 2008-09-24T07:42:51Z 2008-09-24T07:42:51Z 2007 2007 Final Year Project (FYP) http://hdl.handle.net/10356/10366 Nanyang Technological University application/pdf
institution	Nanyang Technological University
building	NTU Library
continent	Asia
country	Singapore Singapore
content_provider	NTU Library
collection	DR-NTU
topic	DRNTU::Business::General::Economic and business aspects
spellingShingle	DRNTU::Business::General::Economic and business aspects Ocvia Freriana Nancy Melisa Hendrawati Credit rating and adverse selection cost
description	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), and Huang and Stoll (1997). We evaluate the impact of issuer rating changes by performing time series analysis, one sample t-test, and independent & paired samples t-test.
author2	Charoenwong, Charlie
author_facet	Charoenwong, Charlie Ocvia Freriana Nancy Melisa Hendrawati
format	Final Year Project
author	Ocvia Freriana Nancy Melisa Hendrawati
author_sort	Ocvia Freriana
title	Credit rating and adverse selection cost
title_short	Credit rating and adverse selection cost
title_full	Credit rating and adverse selection cost
title_fullStr	Credit rating and adverse selection cost
title_full_unstemmed	Credit rating and adverse selection cost
title_sort	credit rating and adverse selection cost
publishDate	2008
url	http://hdl.handle.net/10356/10366
_version_	1770566091249025024

Credit rating and adverse selection cost

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