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• W2090522949 abstract "This study examines the relation between the bid-ask spread from the daily CRSP data and the bid-ask spread from the intraday TAQ data. We show that the CRSP-based spread is highly correlated with the TAQ-based spread across stocks using data from 1993 through 2009. The simple CRSP-based spread provides a better approximation of the TAQ-based spread than all other low-frequency liquidity measures in cross-sectional settings. However, the CRSP-based spread is highly correlated with the TAQ spread in time-series settings only for NASDAQ stocks. Overall, our results suggest that the simple CRSP-based spread could be used in lieu of the TAQ-based spread in academic research that focuses on cross-sectional analysis." @default.
• W2090522949 created "2016-06-24" @default.
• W2090522949 creator A5011392134 @default.
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• W2090522949 date "2009-01-01" @default.
• W2090522949 modified "2023-10-01" @default.
• W2090522949 title "A Simple Approximation of Intraday Spreads Using Daily Data" @default.
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• W2090522949 doi "https://doi.org/10.2139/ssrn.1346363" @default.
• W2090522949 hasPublicationYear "2009" @default.
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