A MODIFIED METHOD FOR INFERRING THE EFFECTIVE BID‐ASK SPREAD FROM SECURITY RETURNS
提出一种修正方法，从证券收益率中剔除市场运动的系统性影响，利用移动平均过程和序列协方差函数的等价性质来推断有效买卖价差，并用CRSP日、周、月数据验证，估计值非负且与样本时间间隔无关。
This paper presents a modified method for inferring the effective bid‐ask spread from security returns in an eMicient market. The Modified Method removes from security returns the systematic effect of market movements and makes use of the equivalence properties of the moving average process and serial covariance function. The Modified Method is tested with the CRSP daily, weekly, and monthly returns data. The results show that the spread estimates are non‐negative and sample time‐interval independent. The results are compared with those of Roll (1984) and Amihud and Mendelson (1986).