A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market
提出一个基于价格变化一阶序列协方差的隐含买卖价差度量方法，适用于有效市场，并实证发现该度量与公司规模密切相关。
ABSTRACT In an efficient market, the fundamental value of a security fluctuates randomly. However, trading costs induce negative serial dependence in successive observed market price changes. In fact, given market efficiency, the effective bid‐ask spread can be measured by where “cov” is the first‐order serial covariance of price changes. This implicit measure of the bid‐ask spread is derived formally and is shown empirically to be closely related to firm size.