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Efficient estimation of bid–ask spreads from open, high, low, and close prices · Study

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ArticleEfficient estimation of bid–ask spreads from open, high, low, and close prices

David Ardia2024

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Articlehybrid2024

Efficient estimation of bid–ask spreads from open, high, low, and close prices

David Ardia · Emanuele Guidotti · Tim Alexander Kroencke

28 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market 1980The Extreme Value Method for Estimating the Variance of the Rate of Return 2015Does Academic Research Destroy Stock Return Predictability?1980On the Estimation of Security Price Volatilities from Historical Data 2012A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices 2009Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data 2018Replicating Anomalies 2018Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects

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2022Zeroing In on the Expected Returns of Anomaliesarticle · 8 shared references 2014The Empirical Analysis of Liquidityarticle · 7 shared references 2021Bias in the effective bid-ask spreadarticle · 7 shared references 2016A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Pricespreprint · 7 shared references 2017Accounting for the Anomaly Zoo: A Trading Cost Perspectivepreprint · 7 shared references 2017A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Pricesarticle · 6 shared references

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Year2024

Typearticle

Published2024-08-14

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations28

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jfineco.2024.103916

openalex_workW4401567601

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