A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices

By Shane A. Corwin, Paul H. Schultz. 2012

1,020 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f63eedd5b7689ed7146b8f8f1ed303f2ef73abd1

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Citations in the corpus

News-Driven Return Reversals: Liquidity Provision Ahead of Earnings Announcements (2014, positive): “VLTY is the standard deviation of daily returns, and SP equals the bid–ask spread scaled by the midpoint quote calculated using the methodology in Corwin and Schultz (2012), where both variables are measured over the six months ending on t 10.”
Does Academic Research Destroy Stock Return Predictability (2016, result): “The magnitude of the post-publication slope ranges from about -29% to -45%, similar to what is reported in Table 3.”
The Role of Accounting Conservatism in the Equity Market: Evidence from Seasoned Equity Offerings (2013, positive): “17 As an alternative proxy for information asymmetry, we use the bid-ask spread estimator derived from the daily high and low prices following Corwin and Schultz (2012) and find consistent results.”
Shall We Talk? The Role of Interactive Investor Platforms in Corporate Communication (2020, methodology): “To construct this panel, we replace trading behavior measures in Eq (1) with a measure of daily bid-ask spread (Corwin and Schultz, 2012).”
Anomalies across the globe: Once public, no longer existent? (2020, positive): “(1999), bid-ask spreads as in Corwin and Schultz (2012), and idiosyncratic volatility.”
The Euro Interbank Repo Market (2016, result): “We obtain similar results when using the intradaily range instead of realized volatility as a measure of price dispersion and the illiquidity measures of Amihud (2002) and Corwin and Schultz (2012) instead of Roll (1984).”
Is There a Dark Side to Exchange Traded Funds? An Information Perspective (2017, positive): “ETFit = The percentage of firm i’s common shares outstanding held by ETFs at the end of year t HLSPREADit = The Corwin and Schultz (2012) measure of bid-ask spread for firm i in year t ILLIQ_Nit = The average over year t of absolute daily equity returns for firm i (the numerator of the Amihud…”
Time-Varying Liquidity and Momentum Profits (2016, positive): “We consider an alternative measure of liquidity introduced recently by Corwin and Schultz (2012). Corwin and Schultz estimate the bid-ask spreads (or the cost of trading) using only daily high and low stock prices.”
Market intraday momentum (2018, background): “Many of the existing studies have been focused on trading activity and volatility (see, e.g., Chordia, Roll, and Subrahmanyam, 2011; Corwin and Schultz, 2012).”