Brazilian working paper looks at adverse selection cost in stocks

centralbank-brazil

New Central Bank of Brazil working paper studies the adverse selection cost component of the spread of Brazilian stocks. Gustavo Silva Araújo, Claudio Henrique da Silveira Barbedo and José Valentim Machado Vicente, authored the paper.

The study analyses the adverse selection cost component embedded in the
spreads of Brazilian stocks and shows that it is higher than in the US
market. The study also finds the adverse selection cost component displays an intraday U-shape pattern, meaning it is higher

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