Performance of stoll's spread component estimator: Evidence from simulations, time-series, and cross-sectional data

Journal of Financial Research

Volumn 19, Issue 4, 1996, Pages 459-476

  Brooks, Raymond ^a   Masson, Jean ^b  

^a UNIVERSITY OF MISSOURI   (United States)

^b UNIVERSITY OF OTTAWA   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0042447346     PISSN: 02702592     EISSN: 14756803     Source Type: Journal    
DOI: 10.1111/j.1475-6803.1996.tb00225.x     Document Type: Article

References (10)

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2. George, T., G. Kaul, and M. Nimalendran, 1991, Estimation of the bid-ask spread and its components: A new approach, Review of Financial Studies 4, 622–56.
3. Glosten, L. and L. Harris, 1988, Estimating components of the bid/ask spread, Journal of Financial Economics 21, 123–42.
4. Harris, L., 1990, Statistical properties of the Roll serial covariance bid/ask spread estimator, Journal of Finance 45, 579–90.
5. Lee, C. and M. Ready, 1991, Inferring trade direction from intraday data, Journal of Finance 46, 733–46.
6. Pagan, A., 1984, Econometric issues in the analysis of regressions with generated regressors, International Economic Review 25, 221–47.
7. Pagan, A., 1986, Two stage and related estimators and their applications, Review of Economic Studies 53, 517–38.
8. Roll, R., 1984, A simple implicit measure of the effective bid-ask spread in an efficient market, Journal of Finance 39, 1127–39.
9. Stoll, H., 1989, Inferring the components of the bid-ask spread: Theory and empirical tests, Journal of Finance 44, 115–34.
10. Wei, P., 1992, Intraday variations in trading activity, price variability and the bid-ask spread, Journal of Financial Research 15, 265–76.