Chung, Kee H.; Zhang, Hao - In: Journal of Financial Markets 17 (2014) C, pp. 94-120
This study examines the relation between the bid-ask spread from the daily CRSP data and the bid-ask spread from the intraday TAQ data. We show that the CRSP-based spread is highly correlated with the TAQ-based spread across stocks using data from 1993 through 2009. The simple CRSP-based spread...