Economics, Econometrics and Finance
4 years ago

New method reveals high bid-ask bias in long-term security returns.

1 view
European Financial Management
Bid–ask bias in cumulated returns: an analytical approach
Vinay Datar, Narayan Y. Naik

Paper Summary

The article presents a new way to calculate errors in measuring investment returns over time. Instead of using simulations, the researchers developed a simpler mathematical formula to estimate these errors accurately. This method helps to better understand and correct for bid-ask errors in financial data, making it easier to analyze long-term investment performance.

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