On the Estimation of Bid-Ask Spreads: Theory and Evidence
扩展了Roll模型，考虑交易类型序列相关，用芝加哥期权交易所的日内交易数据验证，新模型能解释超过80%的公告买卖价差横截面差异。
This paper extends the Roll model for implicit bid-ask spreads by incorporating the possi? bility of serial correlation in transaction type. The validity of this formula is examined using intra-day transactions and bid-ask spread data for options traded on the Chicago Board Options Exchange. The results indicate that the model derived here closely esti? mates the effective bid-ask spread in that it explains more than 80 percent of the crosssectional differences in announced bid-ask spreads.