Construct · 1 fields · 1 citations

Roll spread measure: a standalone construct

One name. One construct. A landmark on the map.

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Roll spreadmeasure1 CONSTRUCTRoll spread measureROLL · FINANCE

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Finance

estimate of the effective bid-ask spread inferred from the negative serial covariance of successive price changes.

In finance, Roll spread measure refers to estimate of the effective bid-ask spread inferred from the negative serial covariance of successive price changes. This meaning comes from Roll (1984) in The Journal of Finance.[1]

Unit
Recovery means
Measured by

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Nearby constructs

covariance3 fields · 3 citationsjingle · one word, three constructsmeasure2 fields · 4 citationsjingle · one word, two constructsspread5 fields · 5 citationsjingle · one word, five constructs

References

  1. Roll, R. (1984). A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market. The Journal of Finance, 39(4), 1127-1139. https://doi.org/10.1111/j.1540-6261.1984.tb03897.x

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