Journal of Empirical Finance, Volume 48, September 2018

来自每日高低价的买卖价差估算：公司债券的实际运用

作者：Belén Nieto (University of Alicante)

摘要：本文评估了Corwin和Schultz（2012）提出的公司债券流动性代理指标标准方法的适当性。这些资产很少进行交易，即使它们是根据活跃要求选择的，并且在经济衰退期间表现出很大的时变波动性。但是，对流动性代理指标的估计要求资产每日连续交易，并且波动率与时间间隔成比例。本文提出一个对原始估计方法的一般化模型，从而使其对非连续交易也能进行实际估计。结果显示，这个只采用交易日和去掉负差价的信息进行估算的通用版本，比标准版本估算得更准确。

关键词：交易成本；公司债券；流动性

Bid–ask spread estimator from high and low daily prices: Practical implementation for corporate bonds

Belén Nieto (University of Alicante)

ABSTRACT

This paper evaluates the appropriateness of the standard methodology used to estimate the liquidity proxy proposed by Corwin and Schultz (2012) for the case of corporate bonds. These assets are infrequently traded, even when they are selected with activity requirements, and display great time-varying volatility during recession periods. However, the estimation of this liquidity proxy requires that the asset be traded daily continuously and that the volatility be proportional to the time interval. I propose a generalization of the original measure that allows for its practical estimation, even for non-continuous trading. The results show that this general version, estimated using information only from days with trades and discarding negative spreads, is more accurate than the standard one.

Keywords: Transaction cost; Corporate bonds; Liquidity

原文链接：

https://www.sciencedirect.com/science/article/pii/S0927539818300410

翻译：陈然