{"id":"https://openalex.org/W2114233347","doi":"https://doi.org/10.1093/rfs/4.4.623","title":"Estimation of the Bid\u2013Ask Spread and Its Components: A New Approach","display_name":"Estimation of the Bid\u2013Ask Spread and Its Components: A New Approach","publication_year":1991,"publication_date":"1991-10-01","ids":{"openalex":"https://openalex.org/W2114233347","doi":"https://doi.org/10.1093/rfs/4.4.623","mag":"2114233347"},"language":"en","primary_location":{"id":"doi:10.1093/rfs/4.4.623","doi":"https://doi.org/10.1093/rfs/4.4.623","is_oa":false,"landing_page_url":"https://doi.org/10.1093/rfs/4.4.623","pdf_url":null,"source":{"id":"https://openalex.org/S170137484","display_name":"Review of Financial Studies","issn_l":"0893-9454","issn":["0893-9454","1465-7368"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-1-star","ft50","jufo-3","norway-2","poland-200","russia-white-list-1","utd24","vabb-shw"],"host_organization":"https://openalex.org/P4310311648","host_organization_name":"Oxford University Press","host_organization_lineage":["https://openalex.org/P4310311648","https://openalex.org/P4310311647"],"host_organization_lineage_names":["Oxford University Press","University of Oxford"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Review of Financial Studies","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5020154592","display_name":"Thomas J. George","orcid":"https://orcid.org/0000-0002-6249-9180","observed_orcids":["https://orcid.org/0000-0002-6249-9180"]},"institutions":[{"id":"https://openalex.org/I52357470","display_name":"The Ohio State University","ror":"https://ror.org/00rs6vg23","country_code":"US","type":"education","lineage":["https://openalex.org/I52357470"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Thomas J. George","raw_affiliation_strings":["Ohio State University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Ohio State University","institution_ids":["https://openalex.org/I52357470"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5063179482","display_name":"Gautam Kaul","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I27837315","display_name":"University of Michigan","ror":"https://ror.org/00jmfr291","country_code":"US","type":"education","lineage":["https://openalex.org/I27837315"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Gautam Kaul","raw_affiliation_strings":["The University of Michigan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"The University of Michigan","institution_ids":["https://openalex.org/I27837315"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5050168740","display_name":"Mahendrarajah Nimalendran","orcid":"https://orcid.org/0000-0002-6702-5371","observed_orcids":["https://orcid.org/0000-0002-6702-5371"]},"institutions":[{"id":"https://openalex.org/I33213144","display_name":"University of Florida","ror":"https://ror.org/02y3ad647","country_code":"US","type":"education","lineage":["https://openalex.org/I33213144"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"M. Nimalendran","raw_affiliation_strings":["University of Florida"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Florida","institution_ids":["https://openalex.org/I33213144"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":4028,"currency":"USD","value_usd":4028},"apc_paid":null,"fwci":9.4953,"has_fulltext":false,"cited_by_count":575,"citation_normalized_percentile":{"value":0.9757893,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":94,"max":100},"biblio":{"volume":"4","issue":"4","first_page":"623","last_page":"656"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12123","display_name":"Financial Analysis and Corporate Governance","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/bid-ask-spread","display_name":"bid-ask spread","score":0.9959999918937683},{"id":"https://openalex.org/keywords/adverse-selection","display_name":"adverse selection","score":0.8069999814033508},{"id":"https://openalex.org/keywords/order-processing-costs","display_name":"order processing costs","score":0.8970000147819519},{"id":"https://openalex.org/keywords/time-varying-expected-returns","display_name":"time-varying expected returns","score":0.765999972820282},{"id":"https://openalex.org/keywords/estimation-bias","display_name":"estimation bias","score":0.5989999771118164},{"id":"https://openalex.org/keywords/small-trades","display_name":"small trades","score":0.625},{"id":"https://openalex.org/keywords/market-microstructure","display_name":"market microstructure","score":0.7089999914169312}],"concepts":[{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.8342936635017395},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6795793771743774},{"id":"https://openalex.org/C2778334786","wikidata":"https://www.wikidata.org/wiki/Q1586270","display_name":"Variation (astronomy)","level":2,"score":0.6026986241340637},{"id":"https://openalex.org/C182306322","wikidata":"https://www.wikidata.org/wiki/Q1779371","display_name":"Order (exchange)","level":2,"score":0.4696708619594574},{"id":"https://openalex.org/C168167062","wikidata":"https://www.wikidata.org/wiki/Q1117970","display_name":"Component (thermodynamics)","level":2,"score":0.464977502822876},{"id":"https://openalex.org/C96250715","wikidata":"https://www.wikidata.org/wiki/Q965330","display_name":"Estimation","level":2,"score":0.4480033814907074},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.43595266342163086},{"id":"https://openalex.org/C90087638","wikidata":"https://www.wikidata.org/wiki/Q7268374","display_name":"Quadratic variation","level":3,"score":0.4353233575820923},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.43502679467201233},{"id":"https://openalex.org/C90329073","wikidata":"https://www.wikidata.org/wiki/Q914232","display_name":"Ask price","level":2,"score":0.4112468957901001},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.2774727940559387},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.05271729826927185},{"id":"https://openalex.org/C112401455","wikidata":"https://www.wikidata.org/wiki/Q178036","display_name":"Brownian motion","level":2,"score":0.0},{"id":"https://openalex.org/C97355855","wikidata":"https://www.wikidata.org/wiki/Q11473","display_name":"Thermodynamics","level":1,"score":0.0},{"id":"https://openalex.org/C44870925","wikidata":"https://www.wikidata.org/wiki/Q37547","display_name":"Astrophysics","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1093/rfs/4.4.623","doi":"https://doi.org/10.1093/rfs/4.4.623","is_oa":false,"landing_page_url":"https://doi.org/10.1093/rfs/4.4.623","pdf_url":null,"source":{"id":"https://openalex.org/S170137484","display_name":"Review of Financial Studies","issn_l":"0893-9454","issn":["0893-9454","1465-7368"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-1-star","ft50","jufo-3","norway-2","poland-200","russia-white-list-1","utd24","vabb-shw"],"host_organization":"https://openalex.org/P4310311648","host_organization_name":"Oxford University Press","host_organization_lineage":["https://openalex.org/P4310311648","https://openalex.org/P4310311647"],"host_organization_lineage_names":["Oxford University Press","University of Oxford"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Review of Financial Studies","raw_type":"journal-article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.629.4008","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.629.4008","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.acsu.buffalo.edu/~keechung/MGF743/Readings/Estimation of the bid-ask spread and its component.pdf","raw_type":"text"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":29,"referenced_works":["https://openalex.org/W1556466497","https://openalex.org/W1599491685","https://openalex.org/W1765051938","https://openalex.org/W1966977762","https://openalex.org/W1973572831","https://openalex.org/W1975161917","https://openalex.org/W1979986072","https://openalex.org/W1980891049","https://openalex.org/W1985808284","https://openalex.org/W1986142095","https://openalex.org/W1987246815","https://openalex.org/W1995352199","https://openalex.org/W2012009483","https://openalex.org/W2025268472","https://openalex.org/W2025881436","https://openalex.org/W2032712062","https://openalex.org/W2035416181","https://openalex.org/W2035606631","https://openalex.org/W2050031929","https://openalex.org/W2082778322","https://openalex.org/W2103674819","https://openalex.org/W2108894520","https://openalex.org/W2133983882","https://openalex.org/W2141673418","https://openalex.org/W2148748485","https://openalex.org/W2158120228","https://openalex.org/W2796529750","https://openalex.org/W2889627911","https://openalex.org/W3123598380"],"related_works":["https://openalex.org/W1999983338","https://openalex.org/W2034903818","https://openalex.org/W2103674819","https://openalex.org/W2091634672","https://openalex.org/W2292296723","https://openalex.org/W140861965","https://openalex.org/W6946148513","https://openalex.org/W1980891049","https://openalex.org/W2895409863","https://openalex.org/W3155634240"],"abstract_inverted_index":{"Abstract":[0],"We":[1,28,45],"show":[2],"that":[3,33,47],"time":[4,64],"variation":[5,65],"in":[6,18,57,66,103],"expected":[7,67],"returns":[8],"and/or":[9],"partial":[10],"price":[11],"adjustments":[12],"lead":[13],"to":[14,83],"a":[15,30,78],"downward":[16,55],"bias":[17,56],"previous":[19,58],"estimators":[20,38],"of":[21,39,42,53,86,113],"both":[22],"the":[23,40,43,54,71,87,96,104,110],"spread":[24,59],"and":[25,36,50],"its":[26],"components.":[27],"introduce":[29],"new":[31],"approach":[32],"provides":[34],"unbiased":[35],"efficient":[37],"components":[41],"spread.":[44],"find":[46],"between":[48],"77":[49],"97":[51],"percent":[52],"estimates":[60],"is":[61],"caused":[62],"by":[63],"returns.":[68],"More":[69],"importantly,":[70],"adverse-selection":[72],"component,":[73],"though":[74],"significant,":[75],"accounts":[76],"for":[77,92],"much":[79],"smaller":[80],"proportion":[81,97],"(8":[82],"13":[84],"percent)":[85,100],"quoted":[88,114],"spread,":[89],"at":[90],"least":[91],"small":[93],"trades,":[94],"than":[95],"(over":[98],"40":[99],"previously":[101],"reported":[102],"literature.":[105],"Order":[106],"processing":[107],"costs":[108],"are":[109],"predominant":[111],"component":[112],"spreads.":[115]},"counts_by_year":[{"year":2026,"cited_by_count":3},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":8},{"year":2023,"cited_by_count":25},{"year":2022,"cited_by_count":9},{"year":2021,"cited_by_count":8},{"year":2020,"cited_by_count":9},{"year":2019,"cited_by_count":10},{"year":2018,"cited_by_count":9},{"year":2017,"cited_by_count":15},{"year":2016,"cited_by_count":15},{"year":2015,"cited_by_count":16},{"year":2014,"cited_by_count":20},{"year":2013,"cited_by_count":19},{"year":2012,"cited_by_count":25}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}
