Asset pricing and the bid-ask spread |
| |
Affiliation: | Tel Aviv University, Tel Aviv, Israel;New York University, New York, NY 10006, USA;University of Rochester, Rochester, NY 14627, USA |
| |
Abstract: | This paper studies the effect of the bid-ask spread on asset pricing. We analyze a model in which investors with different expected holding periods trade assets with different relative spreads. The resulting testable hypothesis is that market-observed expexted return is an increasing and concave function of the spread. We test this hypothesis, and the empirical results are consistent with the predictions of the model. |
| |
Keywords: | |
本文献已被 ScienceDirect 等数据库收录! |
|