The Volatility of Bid‐Ask Spreads
研究发现买卖价差的波动性与预期收益正相关，最高波动组的股票月均超额收益约50个基点，且该溢价在多种检验中稳健。
This study tests whether the volatility of bid‐ask spreads is positively related to expected returns. After controlling for market‐risk factors, we find that the average risk‐adjusted excess return for stocks in the highest spread volatility quintile is around 50 basis points per month. In a variety of multivariate tests, we find robust evidence of a return premium associated with spread volatility that is both statistically significant and economically meaningful. Our results are robust to controls for a variety of stock characteristics, different tick‐size regimes, and other measures of liquidity volatility.