期刊
JOURNAL OF FINANCIAL MARKETS
卷 12, 期 4, 页码 778-813出版社
ELSEVIER
DOI: 10.1016/j.finmar.2009.07.003
关键词
Liquidity; Effective spread; Transaction cost; Asset pricing; Market efficiency
I develop new spread proxies that pick tip on three attributes of the low-frequency (daily) data: (1) price clustering, (2) serial price covariance accounting for midpoint prices on no-trade days, and (3) the quoted spread that is available on no-trade days. I develop and empirically test two different approaches: an integrated model and combined models. I test both new and existing low-frequency spread measures relative to two high-frequency benchmarks (percent effective spread and percent quoted spread) on three performance dimensions: (1) higher individual firm correlation with the benchmarks, (2) higher portfolio correlation with the benchmarks, and (3) lower distance relative to the benchmarks. I find that on all three performance dimensions the new integrated model and the new combined model do significantly better than existing low-frequency spread proxies. (C) 2009 Elsevier B.V. All rights reserved.
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