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   Articles with "effective bid" as a keyword



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Bias in the effective bid-ask spread

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recommendations! Published in 2021 at "Journal of Financial Economics"

DOI: 10.1016/j.jfineco.2021.04.018

Abstract: Abstract The effective bid-ask spread measured relative to the spread midpoint overstates the true effective bid-ask spread in markets with discrete prices and elastic liquidity demand. The average bias is 13%–18% for S&P 500 stocks in… read more here.

Keywords: bid ask; effective bid; bias effective; ask spread ... See more keywords