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Söderlind, Paul - 2006

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

Abdi, Farshid - 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...

Persistent link: https://www.econbiz.de/10012968801