Listen
2 Ergebnisse
Ergebnisse nach Hochschule und Institut
Publikation Efficient estimation of bid–ask spreads from open, high, low, and close prices(Elsevier, 2024) Ardia, David; Guidotti, Emanuele; Kröncke, TimPopular 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.01A - Beitrag in wissenschaftlicher ZeitschriftPublikation Recessions and the stock market(Elsevier, 2022) Kröncke, TimAn event study approach is adopted to investigate the drivers of the stock market around recessions. First, stock prices and dividends drop contemporaneously when accounting for different timing conventions. Accordingly, stock prices do not anticipate recessions due to an economic mechanism (cash flow news). Second, the variance of price changes increases at least as much as the variance of dividend growth during recessions. This result suggests that changes in the price of risk (discount rate news) play an essential role. Implications and opportunities for standard asset pricing theories and recently proposed alternatives are also discussed.01A - Beitrag in wissenschaftlicher Zeitschrift