Replication Data: Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
Creators:
David Ardia, Emanuele Guidotti, and Tim A. Kroencke
Publication Date:
2024
Data Category:
Dataset Description:
This dataset, hosted on Harvard Dataverse, contains the replication data for the study "Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices" (Ardia, Guidotti & Kroencke, 2024, Journal of Financial Economics). It includes OHLC (open, high, low, close) price data and estimated bid-ask spreads used to validate a new efficient estimator of bid-ask spreads that can be applied to daily price data without requiring intraday transaction data.
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