An empirical examination of the amortized spread

• 成果类型: Article
• 署名作者: Chalmers, JMR; Kadlec, GB
• 署名单位: Virginia Polytechnic Institute & State University; University of Oregon
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(98)00007-5
• 发表日期: 1998
• 页码: 159-188
• 关键词: transaction costs; Bid-ask spread; share turnover

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.