Abstract
Merton's [26] recent extension of the CAPM proposed that asset returns are an increasing function of their beta risk, residual risk, and size and a decreasing function of the public availability of information about them. Associating the latter with asset liquidity and following Amihud and Mendelson's [2] proposition that asset returns increase with their illiquidity (measured by the bid-ask spread), we jointly estimate the effects of these four factors on stock returns.
Keywords
Capital asset pricing modelStock (firearms)Market liquidityEconomicsFinancial economicsBETA (programming language)EconometricsAsk priceBid–ask spreadMonetary economicsBusinessFinanceGeographyComputer science
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Publication Info
- Year
- 1989
- Type
- article
- Volume
- 44
- Issue
- 2
- Pages
- 479-479
- Citations
- 129
- Access
- Closed
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Cite This
Yakov Amihud,
Haim Mendelson
(1989).
The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns.
The Journal of Finance
, 44
(2)
, 479-479.
https://doi.org/10.2307/2328600
Identifiers
- DOI
- 10.2307/2328600