A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices
提出一种在缺乏报价数据时，仅用每日收盘、最高和最低价估计买卖价差的新方法，比现有低频估计更准确，尤其适用于流动性较差的股票，可用于度量交易成本和流动性风险。
We propose a new method to estimate the bid-ask spread when quote data are not available. Compared to other low-frequency estimates, this method utilizes a wider information set, namely, readily available close, high, and low prices. In the absence of end-of-day quote data, this method generally provides the highest cross-sectional and average time-series correlations with the TAQ effective spread benchmark. Moreover, it delivers the most accurate estimates for less liquid stocks. Our estimator has many potential applications, including an accurate measurement of transaction cost, systematic liquidity risk, and commonality in liquidity for U.S. stocks dating back almost one century. Received July 17, 2016; editorial decision May 23, 2017 by Editor Andrew Karolyi.