A simple approximation of intraday spreads using daily data

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Dissecting Characteristics Nonparametrically (2020, unknown): “In his presidential address, Cochrane (2011) argues the cross section of the expected return “is once again descending into chaos”. Harvey et al. (2016) identify more than 300 published factors that have predictive power for the cross section of expected returns.(1) Many economic models, such as the”
What Are the Best Liquidity Proxies for Global Research (2017, background): “Chung and Zhang (2014) develop the Closing Percent Quoted Spread percentcost proxy and find that it generally, but not always,7 performs better in US data than any other proxy that they test.”
Retail Investor Attention and Stock Liquidity (2015, unknown): “26%), by following Chung and Zhang (2009). We then transform the daily data into monthly data to perform the analysis.”