When Do Low-Frequency Measures Really Measure Effective Spreads? Evidence from Equity and Foreign Exchange Markets
研究发现多个流行的低频有效价差指标存在波动率诱导的偏差，波动率是这些流动性代理变量变化的主要驱动因素，且偏差随时间加剧，导致无法复现部分经典实证结果。
Abstract We present evidence that several popular low-frequency measures of effective spread suffer from a volatility-induced bias and that volatility is the primary driver of the variation of these liquidity proxies. Using data for U.S. equities and major foreign exchange rates, we show that the bias arises when the effective spread is small relative to volatility. We document that the bias has become more acute over time and show that volatility-biased measures fail to replicate some well-known results in empirical finance. We conclude by providing guidance on the choice of low-frequency measures in empirical applications. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.