{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,11,13]],"date-time":"2026-11-13T00:43:08Z","timestamp":1794530588033,"version":"4.9.1"},"reference-count":37,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2012,3,27]],"date-time":"2012-03-27T00:00:00Z","timestamp":1332806400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["The Journal of Finance"],"published-print":{"date-parts":[[2012,4]]},"abstract":"<jats:title>ABSTRACT<\/jats:title>\n                  <jats:p>We develop a bid\u2010ask spread estimator from daily high and low prices. Daily high (low) prices are almost always buy (sell) trades. Hence, the high\u2013low ratio reflects both the stock's variance and its bid\u2010ask spread. Although the variance component of the high\u2013low ratio is proportional to the return interval, the spread component is not. This allows us to derive a spread estimator as a function of high\u2013low ratios over 1\u2010day and 2\u2010day intervals. The estimator is easy to calculate, can be applied in a variety of research areas, and generally outperforms other low\u2010frequency estimators.<\/jats:p>","DOI":"10.1111\/j.1540-6261.2012.01729.x","type":"journal-article","created":{"date-parts":[[2012,3,29]],"date-time":"2012-03-29T10:28:35Z","timestamp":1333016915000},"page":"719-760","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":1052,"title":["A Simple Way to Estimate Bid\u2010Ask Spreads from Daily High and Low Prices"],"prefix":"10.1111","volume":"67","author":[{"given":"SHANE 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