Cost of transacting and expected returns in the NASDAQ market

• 成果类型: Article
• 署名作者: Eleswarapu, VR
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.1997.tb02754.x
• 发表日期: 1997
• 页码: 2113-2127
• 关键词: BID-ASK SPREAD; ODD-8TH QUOTES; stock returns; dealer; NYSE

摘要

This article empirically examines the liquidity premium predicted by the Amihud and Mendelson (1986) model using Nasdaq data over the 1973-1990 period. The results support the model and are much stronger than for the New York Stock Exchange (NYSE), as reported by Chen and Kan (1989) and Eleswarapu and Reinganum (1993). I conjecture that the stronger evidence on the Nasdaq is due to the dealers' inside spreads on the Nasdaq being a better proxy for the actual cost of transacting than the quoted spreads on the NYSE, since the Nasdaq dealers do not face competition from limit orders or floor traders.