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New bid-ask spread estimators from daily high and low prices

Zhiyong Li (), Brendan Lambe and Emmanuel Adegbite

International Review of Financial Analysis, 2018, vol. 60, issue C, 69-86

Abstract: Estimating trading costs in the absence of recorded data is a problem that continues to puzzle financial market researchers. We address this challenge by introducing two low frequency bid-ask spread estimators using daily high and low transaction prices.

Keywords: High-low spread estimator; Effective spread; Transaction cost; Market liquidity (search for similar items in EconPapers)
JEL-codes: C02 C13 C15 (search for similar items in EconPapers)
Date: 2018
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Working Paper: New Bid-Ask Spread Estimators from Daily High and Low Prices (2017) Downloads
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