Add to ORKGIn this paper we test for the inclusion of the bid-ask spread in the consumption CAPM, in the UK stock market over the time period of 1980-2000. This is undertaken by extending the VAR approach proposed by Campbell and Shiller (1988a) to incorporate the bid-ask spread. Overall the statistical tests are unable to reject the bid-ask spread as an independent explanatory variable in the consumption CAPM. This leads to the conclusion that transactions costs should be included in asset pricing models
Estimating trading costs in the absence of recorded data is a problem that continues to puzzle finan...
Research into the topic of liquidity has greatly benefited from the availability of data. Although b...
We propose a new method of testing asset pricing models that does not rely on prices and returns but...
In this paper we test for the inclusion of the bid-ask spread in the consumption CAPM, in the UK sto...
In this paper we test for the inclusion of the bid-ask spread in the consumption CAPM, in the UK sto...
In this paper we test for the inclusion of the bid-ask spread in the consumption CAPM, in the UK st...
This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.Th...
There has been an increasing interest in the finance literature regarding the impact of transactions...
This paper empirically examines the relation between the expected stock return and the bid-ask sprea...
In this paper, we make a liquidity adjustment to the consumption-based capital asset pricing model (...
The purpose of this thesis is to test the received explanations of the determinants of bid/ask sprea...
Under fairly basic rationales, this paper provides a more general microstructure model of price quot...
The relation between the square of the quoted bid-ask spread and two serial covariances--the serial ...
This study aims to provide a review and comparison of three noticeable models for asset pricing incl...
Estimating trading costs in the absence of recorded data is a problem that continues to puzzle finan...
Estimating trading costs in the absence of recorded data is a problem that continues to puzzle finan...
Research into the topic of liquidity has greatly benefited from the availability of data. Although b...
We propose a new method of testing asset pricing models that does not rely on prices and returns but...
In this paper we test for the inclusion of the bid-ask spread in the consumption CAPM, in the UK sto...
In this paper we test for the inclusion of the bid-ask spread in the consumption CAPM, in the UK sto...
In this paper we test for the inclusion of the bid-ask spread in the consumption CAPM, in the UK st...
This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.Th...
There has been an increasing interest in the finance literature regarding the impact of transactions...
This paper empirically examines the relation between the expected stock return and the bid-ask sprea...
In this paper, we make a liquidity adjustment to the consumption-based capital asset pricing model (...
The purpose of this thesis is to test the received explanations of the determinants of bid/ask sprea...
Under fairly basic rationales, this paper provides a more general microstructure model of price quot...
The relation between the square of the quoted bid-ask spread and two serial covariances--the serial ...
This study aims to provide a review and comparison of three noticeable models for asset pricing incl...
Estimating trading costs in the absence of recorded data is a problem that continues to puzzle finan...
Estimating trading costs in the absence of recorded data is a problem that continues to puzzle finan...
Research into the topic of liquidity has greatly benefited from the availability of data. Although b...
We propose a new method of testing asset pricing models that does not rely on prices and returns but...