Internet Appendix to 'A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices'

Abstract

This supplemental appendix extends the main paper by presenting additional analyses and robustness checks. It also describes the procedure to construct the Monthly TAQ effective spread benchmark.

The paper "A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices" to which this internet appendix applies is available at the following URL: http://ssrn.com/abstract=2725981.

Keywords: Market liquidity, Transaction cost, Effective spread, TAQ data, Asset pricing

JEL Classification: G15, G12, G20