Examples of Effective Spread in a sentence
Quoted Spread is the difference between the best bid and the best ask, Effective Spread is the effective bid-ask spread paid by the traders, Quoted Quantity is the face-value quantity offered on average per bond on the bid and ask side in millions of euros, Lambda is a measure of depth, and the Amihud and Roll measures are illiquidity measures.
Quoted Quantity and LambdaFigure 2: Time Series of Liquidity Measures Panel A shows the time-series evolution of the Quoted and Effective Spread, while Panel B shows the depth measure Lambda and Quoted Quantity.
See "Management's Discussion and Analysis of Financial Condition and Results of Operations—Use of Non-GAAP Measures—Net Effective Spread" for an explanation of net effective spread.
Our proxies for liquidity are as follows: Quoted Bid-Ask Spread, Effective Spread, Roll Measure, Amihud Measure, Total Quoted Quantity, Revisions per Single Propos- als, Single Proposals 5min and Log-Vol.
The results for the coupon-bearing bonds from Equation 1 are presented in Table 6, Panel A, while the results for non-coupon-bearing bonds, as per Equation 2, are presented in Table 6, Panel B.INSERT TABLE 6 HERE As far as coupon bonds are concerned, the two spread measures (Quoted Spread and Effective Spread ) show similar results.