Estimation of the Bid–Ask Spread and Its Components: A New Approach
نویسندگان
چکیده
منابع مشابه
Estimation of the Bid-Ask Spread and Its Components: A New Approach
We show that time variation in expected returns and/or partial price adjustments lead to a downward bias in previous estimators of both the spread and its components. We introduce a new approach that provides unbiased and efficient estimators of the components of the spread. We find that between 77 and 97 percent of the downward bias in previous spread estimates is caused by time variation in e...
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ژورنال
عنوان ژورنال: Review of Financial Studies
سال: 1991
ISSN: 0893-9454,1465-7368
DOI: 10.1093/rfs/4.4.623