An empirical examination of the amortized spread

被引：82

作者：

Chalmers, JMR

Kadlec, GB ^{[1
]}

机构：

[1] Virginia Polytech Inst & State Univ, RB Pamplin Coll Business, Blacksburg, VA 24061 USA

[2] Univ Oregon, Lundquist Coll Business, Eugene, OR 97403 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 1998年 / 48卷 / 02期

关键词：

transaction costs; bid-ask spread; share turnover;

D O I：

10.1016/S0304-405X(98)00007-5

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. We examine amortized spreads for Amex and NYSE stocks over the period 1983-1992. We 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, we find stronger evidence that amortized spreads are priced than we find for unamortized spreads. (C) 1998 Elsevier Science S.A. All rights reserved.

引用

页码：159 / 188

页数：30