Keywords

Bid–ask spreadBid priceEconometricsAsk priceCapital asset pricing modelConsumption-based capital asset pricing modelFinancial economicsEconomicsAsset (computer security)Arbitrage pricing theoryBusinessMonetary economicsFinanceMarket liquidityComputer science

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Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1

Michael J. Brennan , Tarun Chordia , Avanidhar Subrahmanyam
1998 Journal of Financial Economics 1264 citations

Publication Info

Year
1986
Type
article
Volume
17
Issue
2
Pages
223-249
Citations
5215
Access
Closed

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Cite This

Yakov Amihud, Haim Mendelson (1986). Asset pricing and the bid-ask spread. Journal of Financial Economics , 17 (2) , 223-249. https://doi.org/10.1016/0304-405x(86)90065-6

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DOI
10.1016/0304-405x(86)90065-6