Credit rating and adverse selection cost
Date of Issue2007
College of Business (Nanyang Business School)
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.
DRNTU::Business::General::Economic and business aspects
Final Year Project (FYP)
Nanyang Technological University