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

@article{citeulike:6031994, abstract = {Merton's [26] recent extension of the CAPM proposed that asset returns are an increasing function of their beta risk, residual risk, and size and a decreasing function of the public availability of information about them. Associating the latter with asset liquidity and following Amihud and Mendelson's [2] proposition that asset returns increase with their illiquidity (measured by the bid-ask spread), we jointly estimate the effects of these four factors on stock returns.}, author = {Amihud, Yakov and Mendelson, Haim}, citeulike-article-id = {6031994}, citeulike-linkout-0 = {http://dx.doi.org/10.2307/2328600}, citeulike-linkout-1 = {http://www.jstor.org/stable/2328600}, doi = {10.2307/2328600}, issn = {00221082}, journal = {The Journal of Finance}, keywords = {economy, microstructure, trading}, number = {2}, pages = {479--486}, posted-at = {2009-10-29 12:36:49}, priority = {3}, publisher = {Blackwell Publishing for the American Finance Association}, title = {The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns}, url = {http://dx.doi.org/10.2307/2328600}, volume = {44}, year = {1989} }

TY - JOUR ID - citeulike:6031994 L3 - citeulike-article-id:6031994 N2 - Merton's [26] recent extension of the CAPM proposed that asset returns are an increasing function of their beta risk, residual risk, and size and a decreasing function of the public availability of information about them. Associating the latter with asset liquidity and following Amihud and Mendelson's [2] proposition that asset returns increase with their illiquidity (measured by the bid-ask spread), we jointly estimate the effects of these four factors on stock returns. IS - 2 JF - The Journal of Finance SN - 00221082 EP - 486 TI - The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns PB - Blackwell Publishing for the American Finance Association VL - 44 SP - 479 KW - economy KW - microstructure KW - trading AU - Amihud, Yakov AU - Mendelson, Haim PY - 1989/// UR - http://dx.doi.org/10.2307/2328600 ER -