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ID:40048877
大小:1.70 MB
页数:27页
时间:2019-07-18
《Asset pricing and bid-ask pricing》由会员上传分享,免费在线阅读,更多相关内容在学术论文-天天文库。
1、JournalofFinancialEconomics17(1986)223-219.North-HollandASSETPRICINGAIVDTHEBID-ASKSPREAD*ReceivedAugust1985.tinalrsrsionreceived.~pril1986Thispaperstudiestheeffectofthebid-askspreadonassetpricing.Weanalyzeamodelinwhichinvestorswithdifferentexpectedholdin
2、gperiodstradeassetswithdifferentrelativespreads.Theresultingtestablehypothesisisthatmarket-obsewedexpectedreturnisanincreasingandconcavefunctionofthespread.Wetestthishypothesis.andtheempiricalresultsareconsistentwiththepredictionsofthemodel.1.Introductio
3、nLiquidity.marketabilityortradingcostsareamongtheprimaryattributesofmanyinvestmentplansandfinancialinstruments.Inthesecuritiesindustry,portfoliomanagersandinvestmentconsultantstailorportfoliostofittheirclientsinvestmenthorizonsandliquidityobjectives.Butd
4、espiteitsevidentimportanceinpractice,theroleofliquidityincapitalmarketsishardlyreflectedinacademicresearch.Thispaperattemptstonarrowthisgapbyexaminingtheeffectsofilliquidityonassetpricing.llliquiditycanbemeasuredbythecostofimmediateexecution.Aninvestorwi
5、llingtotransactfacesatradeoff:Hemayeitherwaittotransactatafavorablepriceorinsistonimmediateexecutionatthecurrentbidoraskprice.Thequotedask(offer)priceincludesapremiumforimmediatebuying,andthebidpricesimilarlyreflectsaconcessionrequiredforimmediatesale.Th
6、us.anaturalmeasureofilliquidityisthespreadbetweenthebidandask*WewishtothankHansStallandRobertWhaleyforfurnishingthespreaddata,andMannyPaiforexcellentprogrammingassistance.WCacknowledgehelpfulcommentsbytheEditor.CliffordW.Smith.byananonymousreferee,byHarr
7、yDeAngelo.LindaDeAngelo,MichaelC.Jensen.KrishnaRamaswamyandJerryZimmerman.andespeciallvbyJohnLongandG.WilliamSchwert.PartialfinancialsupportbythelManageriaJEconomicsResearchCenter-oftheUniversityofRoth.ster.theSalomonBrothersCenterfortheStudyofFinancialM
8、arkets.andtheIsraelInstituteforBusinessResearchisacknowledged.0304~405X/86/53.50S1986.ElsevierSciencePublishersB.V.(North-Holland)prices,whichisthesumofthebuyingpremiumandthesellingconcession.Indeed.therelativespreadonstoc
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