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
Date Written: April 2017
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: 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
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