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Wemelsfelder J. Pels P. S. Bottemanne C. J. Somermeijer W. H. Abeln G. H. J. Visser TJ. S. Loeb G. F. Venekamp P. E. de Vries Joh van Zuuren P. 《De Economist》1959,107(1):60-72
Amsterdam, Juli 1959. 相似文献
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Estimation of the bid - ask spread and its components: a new approach 总被引：12，自引：0，他引：12
We show that time variation in expected returns and/or partialprice adjustments lead to a downward bias in previous estimatorsof both the spread and its components. We introduce a new approachthat provides unbiased and efficient estimators of the componentsof the spread. We find that between 77 and 97 percent of thedownward bias in previous spread estimate is caused by timevariation in expected returns. More importantly, the adverse-selectioncomponent, though significant, accounts for a much smaller proportion(8 to 13 percent) of the quoted spread, at least for small trades,than the proportion (over 40 percent) previously reported inthe literature. Order processing costs are the predominant componentof quoted spreads. 相似文献