The performance of bid-ask spread estimators under less than ideal conditions
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Other versions of this item:
- Michael Bleaney & Zhiyong Li, 2015. "The performance of bid-ask spread estimators under less than ideal conditions," Studies in Economics and Finance, Emerald Group Publishing, vol. 32(1), pages 98-127, March.
References listed on IDEAS
- Hasbrouck, Joel, 1991. " Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, vol. 46(1), pages 179-207, March.
- Stoll, Hans R, 1989. " Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests," Journal of Finance, American Finance Association, vol. 44(1), pages 115-134, March.
- Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
- Holden, Craig W., 2009. "New low-frequency spread measures," Journal of Financial Markets, Elsevier, vol. 12(4), pages 778-813, November.
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- repec:eee:econom:v:200:y:2017:i:2:p:312-325 is not listed on IDEAS
- Li, Zhiyong & Lambe, Brendan & Adegbite, Emmanuel, 2017. "New Bid-Ask Spread Estimators from Daily High and Low Prices," MPRA Paper 79102, University Library of Munich, Germany.
More about this item
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-10-05 (All new papers)
- NEP-ECM-2013-10-05 (Econometrics)
- NEP-MST-2013-10-05 (Market Microstructure)
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