Popular bid–ask spread estimators are downward biased when trading is infrequent. Moreover, they consider only a subset of open, high, low, and close prices and neglect potentially useful information to improve the spread estimate. By accounting for discretely observed prices, this paper derives asymptotically unbiased estimators of the effective bid–ask spread. Moreover, we combine them optimally to minimize the estimation variance and obtain an efficient estimator. Through theoretical analyses, numerical simulations, and empirical evaluations, we show that our efficient estimator dominates other estimators from transaction prices, yields novel insights for measuring bid–ask spreads, and has broad applicability in empirical finance.

中文翻译：

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根据开盘价、最高价、最低价和收盘价有效估计买卖价差


当交易不频繁时，流行的买卖价差估计器会出现向下偏差。此外，他们只考虑开盘价、最高价、最低价和收盘价的子集，而忽略了改善点差估计的潜在有用信息。通过考虑离散观察的价格，本文得出了有效买卖价差的渐近无偏估计量。此外，我们将它们最佳地结合起来，以最小化估计方差并获得有效的估计器。通过理论分析、数值模拟和实证评估，我们表明，我们的有效估计器在交易价格方面优于其他估计器，为测量买卖价差提供了新颖的见解，并且在实证金融中具有广泛的适用性。