A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices

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 high-low ratio reflects both the stock's variance and its bid-ask spread. Although the variance component of the high-low ratio is proportional to the re...

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Veröffentlicht in:	The Journal of finance (New York) 2012-04, Vol.67 (2), p.719-760
Hauptverfasser:	CORWIN, SHANE A., SCHULTZ, PAUL
Format:	Artikel
Sprache:	eng
Schlagworte:	Analytical estimating Asked price Cost estimates Estimate reliability Estimating techniques Estimation Estimation methods Estimators Financial analysis Nasdaq Composite Index Rates of return Spread Spreads Standard deviation Stock exchange Stock exchanges Stock prices Stock returns Studies Time series Variance
Online-Zugang:	Volltext
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