Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/10366
Title: Credit rating and adverse selection cost
Authors: Ocvia Freriana
Nancy
Melisa Hendrawati
Keywords: DRNTU::Business::General::Economic and business aspects
Issue Date: 2007
Abstract: 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.
URI: http://hdl.handle.net/10356/10366
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)

Files in This Item:
File Description SizeFormat 
NBS-REPORTS_2923.pdf
  Restricted Access
362.26 kBAdobe PDFView/Open

Page view(s) 10

369
checked on Sep 22, 2020

Download(s) 10

3
checked on Sep 22, 2020

Google ScholarTM

Check

Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.