期刊
JOURNAL OF FINANCE
卷 67, 期 2, 页码 719-759出版社
WILEY-BLACKWELL
DOI: 10.1111/j.1540-6261.2012.01729.x
关键词
-
We develop a bid-ask spread estimator from daily high and low prices. Daily high (low) prices are almost always buy (sell) trades. Hence, the highlow ratio reflects both the stock's variance and its bid-ask spread. Although the variance component of the highlow ratio is proportional to the return interval, the spread component is not. This allows us to derive a spread estimator as a function of highlow ratios over 1-day and 2-day intervals. The estimator is easy to calculate, can be applied in a variety of research areas, and generally outperforms other low-frequency estimators.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据