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| Tekijä: | Chalmers, J. M. R. Kadlec, G. B. |
| Otsikko: | An empirical examination of the amortized spread. |
| Lehti: | Journal of Financial Economics
1998 : MAY, VOL. 48:2, p. 159-188 |
| Asiasana: | TRANSACTION COSTS SHARE PRICES ASSET VALUATION RISK ANALYSIS USA |
| Kieli: | eng |
| Tiivistelmä: | Theories of asset pricing suggest that the amortized cost of the spread is relevant to investors' required returns. The amortized spread measures the spread's cost over investors' holding periods and is approximately equal to the spread times share turnover.The authors examine amortized spreads for Amex and NYSE stocks over the period 1983-1992. They find that stocks with similar spreads can have vastly different share turnover, and thus, a stock's amortized spread cannot be predicted reliably by its spread alone. Consistent with theories of transaction costs,they find stronger evidence that amortized spreads are priced than they find for unamortized spreas. |
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