Question
A stock has traded at an average price of $50 over the course of a trading day. The covariance of successive transaction price changes (trade-bytrade
A stock has traded at an average price of $50 over the course of a trading day. The covariance of successive transaction price changes (trade-bytrade changes in price) is about -0.06. Using the Roll model, what is the estimate of the bid-ask spread of the stock (measured in percent of the average price of $50)?
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Entrepreneurial Finance Venture Capital Deal Structure And Valuation
Authors: Janet Kiholm Smith, Richard L. Smith
2nd Edition
1503603210, 978-1503603219
