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Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
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Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.
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The 41 checked references that resolve
resolves10.1093/rfs/hhx084
A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices
resolves10.1016/S1386-4181(02)00067-8
Quantifying market order execution quality at the New York stock exchange
resolves10.1016/j.jfineco.2018.07.012
Institutional herding and its price impact: Evidence from the corporate bond market
resolves10.1016/j.jeconom.2017.06.013
Semiparametric identification of the bid–ask spread in extended Roll models
resolves10.1016/j.jfineco.2018.05.011
Micro(structure) before macro? The predictive power of aggregate illiquidity for stock returns and economic activity
resolves10.1111/j.1540-6261.2012.01729.x
A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices
resolves10.1016/j.jfineco.2020.09.003
Measuring institutional trading costs and the implications for finance research: The case of tick size reductions
resolves10.1111/j.1540-6261.2009.01469.x
Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data
resolves10.1111/jofi.12127
Liquidity Measurement Problems in Fast, Competitive Markets: Expensive and Cheap Solutions
resolves10.1093/rfs/hhad028
When Do Low-Frequency Measures Really Measure Effective Spreads? Evidence from Equity and Foreign Exchange Markets
resolves10.1016/j.jfineco.2018.01.010
Can financial innovation succeed by catering to behavioral preferences? Evidence from a callable options market
resolves10.1016/j.jfineco.2016.01.019
Does Dodd-Frank affect OTC transaction costs and liquidity? Evidence from real-time CDS trade reports
resolves10.1016/j.jfineco.2020.02.012
What you see is not what you get: The costs of trading market anomalies
The 20 references without a DOI — listed, not checked
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no DOI — not checkedMarket integration and price execution for NYSE-listed securities
no DOI — not checkedNon-standard errors
no DOI — not checkedR: A language and environment for statistical computing
no DOI — not checkedA simple implicit measure of the effective bid-ask spread in an efficient market
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