Equity Bid-Ask Spread

[Sasha S]

I was wondering if someone can help me with calculating equity bid-ask spread. I have access to CRSP database. Specifically, (1) what fields I need from CRSP, and (2) can I have a sample STATA code.

Thank you,

[Attaullah Shah]

You can use the pair of first two or last two for calcuating bid ask spread. And I am afraid, no Stata code code be found to access CRSP or Compustat.

• Ask or HighHelp
• Bid or LowHelp
• Closing BidHelp
• Closing Ask

[Sasha S]

Thank you Professor Shah for your response.

I have monthly bid-ask spreads now and want to estimate a regression using monthly relative bid-ask spread values over a 4-quarter period following each event date.

I am not sure how to proceed with this and I was wondering if there is predefined STATA code that I can use.

Thank you,
Sasha