This paper proposes five new simple moment estimators of the effective spread based on the covariance estimator of Roll(1984)and the High-Low estimator recently developed by Corwin and Schultz(2012).And then the autho...This paper proposes five new simple moment estimators of the effective spread based on the covariance estimator of Roll(1984)and the High-Low estimator recently developed by Corwin and Schultz(2012).And then the authors theoretically investigate the statistical properties of six simple High-Low spread estimators including Corwin and Schultz's estimator.The biases and mean squared errors(MSE)of these six estimators have been derived and compared with each other asymptotically,which,together with the subsequent simulation study,reveal explicitly the superior performance of newly developed High-Low estimators over Corwin and Schultz's estimator in both ideal and nonideal conditions.Moreover,this paper also develops GMM est imators construe ted by t hree or more moment conditions and compares with the six simple High-Low estimators.Finally,several example applications on the U.S.and Chinese financial markets are conducted to demonstrate the superior performance of the new High-Low estimators.The results provide alternative choices for identifying the liquidity proxies that well capture different structure of markets.展开更多
This study examines the effect of corporate ownership on information asymmetry as measured by bid-ask spread in the emerging markets of China. Government ownership has significant and positive impacts on bid-ask sprea...This study examines the effect of corporate ownership on information asymmetry as measured by bid-ask spread in the emerging markets of China. Government ownership has significant and positive impacts on bid-ask spread during the period 1995-2000, but disappears afterward during 2001-2003. The finding that state ownership raised bid-ask spread in the early period is consistent with recent studies on emerging markets including China, which indicate that firms with higher state ownership tend to have a greater deviation between cash flow rights and control rights(eg, Wei et al., 2005). This implies that lower state ownership is associated with lower information asymmetry in the market, an economic consequence of significant economic reform and privatization regarding the market microstructure. However, with more active control transfers andemergence of private controlling shareholders, regulatory changes in ownership structure and corporate governance mechanisms, and thus an improved legal and institutional environment, the link between the government ownership and information asymmetry turns to be insignificant in the later period. These results have important implications for transparency and information disclosure policies as well as privatization in emerging markets.展开更多
基金supported by the National Natural Science Foundation of China under Grant Nos.61603010,61603011,61773029Beijing Social Science Research Base Foundation under Grant No.17JDGLB018
文摘This paper proposes five new simple moment estimators of the effective spread based on the covariance estimator of Roll(1984)and the High-Low estimator recently developed by Corwin and Schultz(2012).And then the authors theoretically investigate the statistical properties of six simple High-Low spread estimators including Corwin and Schultz's estimator.The biases and mean squared errors(MSE)of these six estimators have been derived and compared with each other asymptotically,which,together with the subsequent simulation study,reveal explicitly the superior performance of newly developed High-Low estimators over Corwin and Schultz's estimator in both ideal and nonideal conditions.Moreover,this paper also develops GMM est imators construe ted by t hree or more moment conditions and compares with the six simple High-Low estimators.Finally,several example applications on the U.S.and Chinese financial markets are conducted to demonstrate the superior performance of the new High-Low estimators.The results provide alternative choices for identifying the liquidity proxies that well capture different structure of markets.
文摘This study examines the effect of corporate ownership on information asymmetry as measured by bid-ask spread in the emerging markets of China. Government ownership has significant and positive impacts on bid-ask spread during the period 1995-2000, but disappears afterward during 2001-2003. The finding that state ownership raised bid-ask spread in the early period is consistent with recent studies on emerging markets including China, which indicate that firms with higher state ownership tend to have a greater deviation between cash flow rights and control rights(eg, Wei et al., 2005). This implies that lower state ownership is associated with lower information asymmetry in the market, an economic consequence of significant economic reform and privatization regarding the market microstructure. However, with more active control transfers andemergence of private controlling shareholders, regulatory changes in ownership structure and corporate governance mechanisms, and thus an improved legal and institutional environment, the link between the government ownership and information asymmetry turns to be insignificant in the later period. These results have important implications for transparency and information disclosure policies as well as privatization in emerging markets.
