Pricing Implication of H-L Spread Estimate
Using U.S.data from 1926 to 2010,this paper presents a detailed examination of the high and low prices based estimates of bid-ask spreads (H-L spread estimate) newly developed by Corwin and Schultz (2012).we focus on testing the liquidity premium of H-L spread estimate.The test also make comparisons with other commonly adopted liquidity measures such as the price impact of Amihud (2002),turnover,the trading discontinuity measure of Liu (2006) and the quoted bid-ask spread measure.H-L spread estimate has price implication in the pre-1963 period,this is consistent with the result of Corwin and Schultz (2012) that H-L spread estimate performs better in the early period.However,H-L spread estimate does not have price implication in the post-1963 period and all period,and it is not an ideal liquidity measure.
H-L spread estimate liquidity premium price implication
Weiqi Liu Shun Zhang
School of Management,Shanxi University,Taiyuan,030006
国内会议
管理科学与工程学会2012年年会暨第十届中国管理科学与工程论坛
烟台
英文
347-351
2012-10-21(万方平台首次上网日期,不代表论文的发表时间)