Bias in the effective bid-ask spread
研究发现，在离散价格和弹性流动性需求的市场中，以中点衡量的有效买卖价差会高估真实值，标普500股票平均偏差13%-18%，低价股可达97%，并影响研究推断和交易评估。论文提出了新的有效价差估计量。
The effective bid-ask spread measured relative to the spread midpoint overstates the true effective bid-ask spread in markets with discrete prices and elastic liquidity demand. The average bias is 13%–18% for S&P 500 stocks in general, depending on the estimator used as benchmark, and up to 97% for low-priced stocks. Cross-sectional bias variation across stocks, trading venues, and investor groups can influence research inference. The use of the midpoint also undermines liquidity timing and trading performance evaluations, and can lead non-sophisticated investors to overpay for liquidity. To overcome these problems, the paper proposes new estimators of the effective bid-ask spread.