Farshid Abdi
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Abdi
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Farshid

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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
  • Publication
    A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices
    (SoF - HSG, 2016-01)
    Abdi, Farshid
    ;
    Ranaldo, Angelo
    We propose a new method to estimate the bid-ask spread when quote data are not available. Compared to other low-frequency estimates, it utilizes a wider information set, namely, close, high, and low prices, which are readily available. In the absence of end-of-day quote data, it 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. Our estimator has many potential applications including an accurate measurement of transaction cost, systematic liquidity risk, and commonality in liquidity for U.S. stocks dating back almost one century.
    Type: working paper
    Issue: 2016/04
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/104778