Access Statistics for Farshid Abdi

Author contact details at EconPapers.

Working Paper	File Downloads				Abstract Views
Working Paper	Last month	3 months	12 months	Total	Last month	3 months	12 months	Total
A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low PricesWe propose a new method to estimate the bid-ask spread when quote data are not available. Compared to other low-frequency estimates, it utilizes a wider information set, namely, close, high, and low prices, which are readily available. In the absence of end-of-day quote data, it generally provides the highest cross-sectional and average time-series correlations with the TAQ effective spread benchmark. Moreover, it delivers the most accurate estimates for less liquid stocks. Our estimator has many potential applications including an accurate measurement of transaction cost, systematic liquidity risk, and commonality in liquidity for U.S. stocks dating back almost one century	0	0	0	127	0	1	12	581
Cycles of Declines and Reversals Following Overnight Market Declines	0	0	1	11	0	2	13	53
Informed Corporate Credit Market Before Monetary Policy Surprises: Explaining Pre-FOMC Stock Market Movements	0	0	0	30	3	6	11	79
Market impact of government communication: The case of presidential tweets	0	0	1	31	0	2	8	63
Total Working Papers	0	0	2	199	3	11	44	776

Journal Article	File Downloads				Abstract Views
Journal Article	Last month	3 months	12 months	Total	Last month	3 months	12 months	Total
A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices	0	0	10	72	4	9	50	250
Total Journal Articles	0	0	10	72	4	9	50	250

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Statistics updated 2025-03-03