Kim, Sung-Hun; Ogden, Joseph P. - In: European Financial Management 2 (1996) 1, pp. 127-145
In this paper we show that George et al. (GKN, 1991) estimators of the adverse selection and order processing cost components of the bid-ask spread are biased due to intertemporal variations in the bid-ask spread. We use alternative estimators that correct this bias and that are applicable to...
