Credit rating and adverse selection cost

• Main Authors: Ocvia Freriana, Nancy, Melisa Hendrawati
• 其他作者: Charoenwong, Charlie
• 格式: Final Year Project
• 出版: 2008
• 主題: DRNTU::Business::General::Economic and business aspects
• 在線閱讀: http://hdl.handle.net/10356/10366

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...