%0 Journal Article %1 amihud1989 %A Amihud, Yakov %A Mendelson, Haim %D 1989 %J The Journal of Finance %K bid-ask-spread factor-investing %N 2 %P 479-486 %R https://doi.org/10.1111/j.1540-6261.1989.tb05067.x %T The Effects of Beta, Bid‐Ask Spread, Residual Risk, and Size on Stock Returns %V 44 %X 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.

@article{amihud1989, 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.}, added-at = {2019-03-11T17:02:13.000+0100}, author = {Amihud, Yakov and Mendelson, Haim}, biburl = {https://www.bibsonomy.org/bibtex/2878299aa9c477618568b7ec0f670b34b/antoinefalck}, doi = {https://doi.org/10.1111/j.1540-6261.1989.tb05067.x}, interhash = {173c0b808511ade4164d55d6127787b4}, intrahash = {878299aa9c477618568b7ec0f670b34b}, journal = {The Journal of Finance}, keywords = {bid-ask-spread factor-investing}, month = {June}, number = 2, pages = {479-486}, timestamp = {2019-10-11T20:31:39.000+0200}, title = {The Effects of Beta, Bid‐Ask Spread, Residual Risk, and Size on Stock Returns}, volume = 44, year = 1989 }