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

Abstract

Highlights: • The Corwin and Schultz high–low volatility and spread measures are downward biased. • The bias is concentrated on assets that do not trade continuously daily. • The underestimation increases from the least to the most volatile assets. •This paper proposes a generalized version that accounts for days without any trade. • This proposal, once negative spread values are discarded, is more accurate.