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

Material TypeArticleLanguageEnglish
TitleA Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices Author(S)SHANE A. CORWIN (Author)
Abstract  We develop a bid-ask spread estimator from daily high and low prices. Daily high (low) prices are almost always buy (sell) trades. ...Paginationp 719–760
SubjectEconomicsDescriptorsEconomics
Journal TitleThe Journal of Finance  
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