Components of the Bid‐Ask Spread and the Statistical Properties of Transaction Prices
将买卖价差分解为信息不对称和垄断力量两部分，发现信息不对称部分会减弱收益率、方差和序列协方差的统计偏差，因此用价差数据调整收益矩时需知道价差构成。
ABSTRACT The bid‐ask spread can be decomposed into two parts: one part due to asymmetric information and the other part due to other factors such as monopoly power. The part due to asymmetric information attenuates statistical biases in mean return, variance, and serial covariance. Thus, using spread data to adjust for biases in return moments requires knowing not only the spread but the composition of the spread. Furthermore, any spread‐estimation procedure using transaction prices must estimate two spread components. On the other hand, the appropriateness of some previously suggested statistical corrections is independent of the spread composition.