The Effects of Beta, Bid‐Ask Spread, Residual Risk, and Size on Stock Returns

The Journal of Finance

Volumn 44, Issue 2, 1989, Pages 479-486

  AMIHUD, YAKOV ^a   MENDELSON, HAIM ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84977727165     PISSN: 00221082     EISSN: 15406261     Source Type: Journal    
DOI: 10.1111/j.1540-6261.1989.tb05067.x     Document Type: Article

References (30)

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3. Trading Mechanisms and Stock Returns: An Empirical Investigation
4. Liquidity, Volatility and Exchange Automation
5. The Only Game in Town
6. The Relationship between Return and Market Value of Common Stocks
7. Determinants of Bid‐Ask Spreads in the Over‐the‐Counter Market
8. The Capital Asset Pricing Model: Some Empirical Tests
9. The Effects of Dividend Yield and Dividend Policy on Common Stock Prices and Returns
10. Capital Market Equilibrium with Transaction‐Costs
11. Optimal Liquidation of Assets in the Presence of Personal Taxes: Implications for Asset Pricing
12. Information Effect on the Bid‐Ask Spread
13. The Cost of Transaction
14. Risk, Return and Equilibrium: Empirical Tests
15. New Evidence on the Capital Asset Pricing Model
16. Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders
17. Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in a Portfolio
18. Market Behavior in a Clearing House
19. Random Competitive Exchange: Price Distributions and Gains from Trade
20. Consolidation, Fragmentation and Market Performance
21. A Simple Model of Capital Market Equilibrium with Incomplete Information
22. Misspecification of Capital Asset Pricing: Empirical Anomalies Based on Earnings' Yields and Market Values
23. The Pricing of Security Dealer Services: An Empirical Study of NASDAQ Stocks
24. Transaction Costs and the Small Firm Effect
25. Risk, Return and Equilibrium: A Revisit