Asymmetric information modelling in the realized spread: A new simple estimation of the informed realized Spread

The market liquidity plays an authoritative role in the execution of financial transaction. Since has immediate impact on trading, risk been gaining a huge attention asset pricing, corporate financing, and portfolio management. bid-ask spread is often reported significant indicator its associated cost market. This work proposes new estimation spread, namely Informed Realized Spread (IRS). IRS method modified version (RS), which exclusively illustrates asymmetric information effects size. Despite differences behind construction proxies, model found to be positive strongly correlated with RS model. straightforward, computationally less-intensive, suitable for variety research pricing studies.