How Well Do Adverse Selection Components Measure Adverse Selection

@article{Ness2001HowWD,
  title={How Well Do Adverse Selection Components Measure Adverse Selection},
  author={Bonnie F. Van Ness and Robert A. Van Ness and Richard S. Warr},
  journal={Financial Management},
  year={2001},
  volume={30},
  pages={77}
}
The performance of five adverse selection models are examined by comparing their component estimates to other measures of information asymmetry and informed trading. The models produce mixed results. Adverse selection components correlate with various volatility measures, but appear unrelated to measures of uncertainty. Only three of the five models have the expected relation with informed trader proxies, suggesting that the adverse selection models measure adverse selection weakly at best… Expand
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