A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices

• 成果类型: Article
• 署名作者: Corwin, Shane A.; Schultz, Paul
• 署名单位: University of Notre Dame
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2012.01729.x
• 发表日期: 2012
• 页码: 719-759
• 关键词: STOCK RETURNS; liquidity; Nasdaq; INFORMATION; volatility; variances; COSTS

摘要

We develop a bid-ask spread estimator from daily high and low prices. Daily high (low) prices are almost always buy (sell) trades. Hence, the highlow ratio reflects both the stock's variance and its bid-ask spread. Although the variance component of the highlow ratio is proportional to the return interval, the spread component is not. This allows us to derive a spread estimator as a function of highlow ratios over 1-day and 2-day intervals. The estimator is easy to calculate, can be applied in a variety of research areas, and generally outperforms other low-frequency estimators.