Estimation of the Bid–Ask Spread and Its Components: A New Approach
发现预期收益的时间变化和部分价格调整会导致以往价差及其成分估计出现向下偏差，并提出一种新方法得到无偏且有效的估计。结果显示，预期收益变化造成价差估计中77%到97%的向下偏差，而逆向选择成分仅占报价价差的8%到13%（对小额交易而言），远低于以往文献报告的40%以上。订单处理成本是报价价差的主要成分。
Abstract 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 expected returns. More importantly, the adverse-selection component, though significant, accounts for a much smaller proportion (8 to 13 percent) of the quoted spread, at least for small trades, than the proportion (over 40 percent) previously reported in the literature. Order processing costs are the predominant component of quoted spreads.