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¿Se Puede Medir La Negociación Informada?: Una Revisión De La Metodología Basada En Las Covarianzas De Las Series De Precios / Can We Measure The Insider Trading? A Review Of The Autocovariances Models

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  • Farinós Viñas, J.E.

    ()
    (Universidad de Valencia (España))

  • García Martín, C.J.

    ()
    (Universidad de Valencia (España))

  • Ibáñez Escribano, A.M.

    ()
    (Universidad de Valencia (España))

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    Abstract

    El desarrollo en los modelos teóricos de microestructura ha motivado la aparición de un grupo de trabajos encaminado al estudio empírico de los costes de transacción y sus componentes dada la importancia que han tenido los mismos en el estudio del funcionamiento de los mercados y la comparación entre éstos así como sus numerosas aplicaciones en campos afines (finanzas corporativas, eficiencia de los mercados, etc.). Por otra parte, la contrastación empírica de los distintos modelos establecidos muestra resultados claramente dispares. Por ello, el objetivo de nuestro trabajo es analizar con detalle y en conjunto dichos modelos centrándonos en un grupo con características muy similares. Concretamente desarrollaremos aquellos modelos cuyas estimaciones están basadas en las autocovarianzas de las series de precios y/o rendimientos. / As theoretical microstructure models developed, several researches have empirically investigated the relevant role of transaction costs and its components in the stock market dynamics and their applications in several similar topics (corporate finance, market efficiency, etc.). Alternatively, empirical tests of these models has led to different results. In this paper, we perform a thorough study of a group of models with common characteristics. Specifically, we focus on models that estimate transaction cost components from price and/or return time series autocovariance.

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    Bibliographic Info

    Article provided by Academia Europea de Dirección y Economía de la Empresa (AEDEM) in its journal Investigaciones Europeas de Dirección y Economía de la Empresa.

    Volume (Year): 15 (2009)
    Issue (Month): 2 ()
    Pages: 201-222

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    Handle: RePEc:idi:jiedee:v:15:y:2009:i:2:p:201-222

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    Postal: Investigaciones Europeas de Dirección y Economía de la Empresa, Facultad de Ciencias Económicas y Empresariales, Universidad de Vigo, Lagoas - Marcosende s/n, E-36310, Vigo, Pontevedra, España
    Phone: (+34) 986812473
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    Web page: http://www.aedem-virtual.com/es/journal/iedee

    Related research

    Keywords: Horquilla de precios; Selección adversa; Autocovarianzas de los rendimientos. ; Bid–ask spread; Adverse selection cost; Time series return autocovariance;

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