Farshid Abdi

Assistant Professor of Finance

 

E-mail: fabdi@isenberg.umass.edu

 

A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices with Angelo Ranaldo
Review of Financial Studies, 30 (12), 2017, 4437–4480  

Internet Appendix

SAS Code to Generate the Estimates 

Estimates for the US Common Shares, in CSV Format

 

Disclaimer: You use the code and data at your own risk.