The effective bid-ask spread can be misleading in markets with specific prices and demand for liquidity. For S&P 500 stocks, the spread midpoint overestimates the true spread by 13%–18%, and even up to 97% for low-priced stocks. This bias varies across different stocks, trading venues, and investor groups, affecting research conclusions. Using the midpoint can also impact evaluations of liquidity timing and trading performance, potentially causing less experienced investors to pay more for liquidity. New estimators are suggested to address these issues.