Internet Appendix to 'A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices'

21 Pages Posted: 21 Jul 2016 Last revised: 30 Jul 2017

See all articles by Farshid Abdi

Farshid Abdi

Texas A&M University

Angelo Ranaldo

University of St. Gallen; Swiss Finance Institute

Date Written: April 2017

Abstract

This supplemental appendix extends the main paper by presenting additional analyses and robustness checks. It also describes the procedure to construct the Monthly TAQ effective spread benchmark.

The paper "A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices" to which this internet appendix applies is available at the following URL: http://ssrn.com/abstract=2725981.

Keywords: Market liquidity, Transaction cost, Effective spread, TAQ data, Asset pricing

JEL Classification: G15, G12, G20

Suggested Citation

Abdi, Farshid and Ranaldo, Angelo, Internet Appendix to 'A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices' (April 2017). Available at SSRN: https://ssrn.com/abstract=2809692 or http://dx.doi.org/10.2139/ssrn.2809692

Farshid Abdi (Contact Author)

Texas A&M University ( email )

Mays Business School | Texas A&M University
210 Olsen Boulevard
College Station, TX 77843-4218
United States

Angelo Ranaldo

University of St. Gallen ( email )

School of Finance
Unterer Graben 21
St. Gallen, 9000
Switzerland
+41712247010 (Phone)

HOME PAGE: http://fin-sr.unisg.ch

Swiss Finance Institute ( email )

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland
+41796637711 (Phone)

HOME PAGE: http://www.sfi.ch/de/about-us/news/hsg-faculty-members

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