买卖价差
要价
投标价格
计量经济学
经济
金融经济学
资本资产定价模型
基于消费的资本资产定价模型
资产(计算机安全)
业务
货币经济学
市场流动性
财务
计算机科学
计算机安全
作者
Yakov Amihud,Haim Mendelson
标识
DOI:10.1016/0304-405x(86)90065-6
摘要
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.
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