| Item Type |
Monograph
(Working Paper)
|
| Abstract |
We propose a new method to estimate the bid-ask spread when quote data are not available. Compared to other low-frequency estimates, it utilizes a wider information set, namely, close, high, and low prices, which are readily available. In the absence of end-of-day quote data, it generally provides the highest cross-sectional and average time-series correlations with the TAQ effective spread benchmark. Moreover, it delivers the most accurate estimates for less liquid stocks. Our estimator has many potential applications including an accurate measurement of transaction cost, systematic liquidity risk, and commonality in liquidity for U.S. stocks dating back almost one century. |
| Authors |
Abdi, Farshid & Ranaldo, Angelo |
| Language |
English |
| Keywords |
Market liquidity, Transaction cost, Effective spread, TAQ data, Asset pricing |
| Subjects |
business studies
finance |
| HSG Classification |
contribution to scientific community |
| HSG Profile Area |
None |
| Refereed |
No |
| Date |
January 2016 |
| Publisher |
SoF - HSG |
| Place of Publication |
St. Gallen |
| Series Name |
School of Finance Working Paper Series |
| Number |
2016/04 |
| Number of Pages |
60 |
| Depositing User |
Prof. Dr. Angelo Ranaldo
|
| Date Deposited |
09 Feb 2016 08:35 |
| Last Modified |
02 Feb 2023 01:23 |
| URI: |
https://www.alexandria.unisg.ch/publications/247263 |
A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices
![[img]](http://www.alexandria.unisg.ch/style/images/fileicons/oa_orange.png)
