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2017 | 1(7) | 90-101
Article title

An Econometric Analysis for the Bid-Ask Spread in the Emerging Chilean Capital Market

Content
Title variants
Languages of publication
EN
Abstracts
EN
The purpose of this paper is to show that different methods for calculating the spread (Bid-Ask) and the methods for annualizing intra-day data affect the results of econometric models. To achieve our goal, we analyze different econometric models in the context of: i) the International Financial Reporting Standards (IFRS) adoption, ii) the reduction of information asymmetry due to new corporate governance standards, and iii) the ownership concentration that characterize the Chilean Capital Market. We test the quality of the information delivered to the market using two information disclosure indices (DIS and Botosan). We find that the definition of spread and the methods for annualizing intraday data it is a key decision and may affect the statistical significance of the variables of a specific model.
Year
Issue
Pages
90-101
Physical description
Dates
online
2017-05-19
Contributors
  • Facultad de Ciencias Económicas y Administrativas Pontificia Universidad Católica de Valparaíso, Chile, dcademar@gmail.com
  • Facultad de Ciencias Económicas y Administrativas Pontificia Universidad Católica de Valparaíso, Chile, bsilva@pucv.cl
  • Facultad de Ciencias Económicas y Administrativas Pontificia Universidad Católica de Valparaíso, Chile, ricardo.campos.e@pucv.cl
  • Facultad de Ciencias Económicas y Administrativas Pontificia Universidad Católica de Valparaíso, Chile, hanns.delafuente@pucv.cl
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Document Type
Publication order reference
Identifiers
ISSN
2353-6845
YADDA identifier
bwmeta1.element.desklight-9abde26b-780d-43e9-8d57-224a7bb02cb3
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