BidAskSpread
Bid-Ask Spread (Corwin-Schulz) — Corwin and Schultz 2012
Quick facts
| Factor ID | BidAskSpread |
| Display name | Bid-Ask Spread (Corwin-Schulz) |
| Family | Predictor |
| Category | Liquidity |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Corwin and Schultz 2012 |
| Source tables | daily |
| Required fields | high;low |
| PIT required | no |
| Coverage | 2010-02-03 – 2026-05-15 · 675,813 rows · 98.6% of panel |
Formula
Corwin-Schulz (2012) high-low spread estimator averaged over 21 days
Rolling 21-day average of the Corwin-Schulz daily spread estimator derived from high and low prices.
China adaptation
Uses A-share daily high/low prices directly; price limits may compress the estimator on limit-hit days.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 195 |
| Monthly mean | -0.5435% |
| Monthly std | 3.8375% |
| Annualized Sharpe | -0.49 |
| t-stat (simple) | -1.98 |
| Hit rate (months > 0) | 43.6% |
| Last 12M compounded | 24.98% |
| Cumulative wealth (start = 1) | 0.299 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | +4.26% | 0.249 | 5092 |
| 2025-06 | +1.30% | 0.252 | 5128 |
| 2025-07 | +3.84% | 0.262 | 5124 |
| 2025-08 | +1.88% | 0.267 | 5134 |
| 2025-09 | -3.37% | 0.258 | 5137 |
| 2025-10 | -1.25% | 0.255 | 5140 |
| 2025-11 | +1.07% | 0.258 | 5144 |
| 2025-12 | +2.03% | 0.263 | 5149 |
| 2026-01 | +3.36% | 0.272 | 5161 |
| 2026-02 | -5.30% | 0.257 | 5155 |
| 2026-03 | +9.75% | 0.282 | 5173 |
| 2026-04 | +5.83% | 0.299 | 5152 |
Known data issues
A-share result shows negative spread premium (t=-2.0). High-spread stocks in China are often speculative small-caps that are overpriced by retail investors. The illiquidity premium documented in US markets does not replicate in the same direction in retail-dominated A-shares. Direction kept as per original paper for transparency.
Notes
Price limits at +/-10% compress the high-low range and bias the estimator downward on limit days.
See also: Liquidity family, Factor library, Factor returns.