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

Publisher: John Wiley & Sons Inc

E-ISSN: 1540-6261|22-1082|2|719-760

ISSN: 0022-1082

Source: THE JOURNAL OF FINANCE, Vol.22-1082, Iss.2, 2012-04, pp. : 719-760

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Abstract