Zhang, Xindong; Yang, Junxian; Su, Huimin; Zhang, Shun - In: China Finance Review International 4 (2014) 2, pp. 168-186
Purpose – The purpose of this paper is to explore the price implication of a newly developed estimator of the bid-ask spread by Corwin and Schultz (2012). The paper focusses on whether the new measure as a liquidity proxy commands a significant premium. The research helps the understanding on...