Angelo Ranaldo
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Prof. Dr.
Last Name
Ranaldo
First name
Angelo
Email
angelo.ranaldo@unisg.ch
Phone
+41 71 224 7010
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RePec
http://ideas.repec.org/e/pra161.html
SSRN
http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=253421

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  • Publication
    A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices
    ( 2017-01-06)
    Abdi, Farshid
    ;
    Ranaldo, Angelo
    To estimate the bid-ask spread, we propose a new method that resembles the Roll measure (1984) but has some key advantages: it is fully independent of bid-ask bounces and benefits from a wider information set, namely, close, high, and low prices, which are readily available. Assessed against other low-frequency estimates, our estimator generally provides the highest cross-sectional and average time-series correlations with the TAQ effective spread benchmark. Moreover, it delivers the most accurate estimates for less liquid stocks. Finally, our estimator improves the measurement of systematic liquidity risk and commonality in liquidity for individual stocks and sorted portfolios.
    Type: conference poster
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/102738