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On Asset Pricing and the Bid-Ask Spread
Amihud and Mendelson’s (1986) ground-breaking model predicts an increasing and concave relation between expected return and relative spread, designated the clientele effect. In theirExpand
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Risk measurement when shares are subject to infrequent trading : Comment
Abstract When securities are thinly traded OLS techniques yield biased beta estimates. Procedures for calculating consistent estimates are proposed by Scholes and Williams (1977) and by DimsonExpand
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The capital asset pricing model and the liquidity effect: A theoretical approach
In this paper we develop a CAPM-based model which incorporate liquidity costs. This model implies, that for markets with nontrivial liquidity costs, the measure of systematic risk is based on returnsExpand
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The Effect of Thermal Radiation on Thermal Flying Height Control Sliders
Thermal flying height control (TFC) technology has recently been applied in hard disk drives. In calculating the thermal deformation caused by the resistance heater, radiation as predicted by Plank'sExpand
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Benevolent Patriot: The Life and Times of Henry Rutgers—Part Three: Back Home, 1783–1800
After returning home to his despoiled property, Henry Rutgers cautiously rebuilt the family fortune during the economic malaise of the 1780s. He was initially swept into office on the wave ofExpand
It is commonly believed, within the investment community, that insiders (officers and directors of companies) make larger risk-adjusted profits when trading in their companies' shares than ordinaryExpand
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Benevolent Patriot: The Life and Times of Henry Rutgers—Introduction
The life of Henry Rutgers has been the subject of a few brief biographical treatments. This essay introduces the articles narrating the story of Henry Rutgers in this issue and in the next issueExpand
Heteroscedasticity, R2 and Thin Trading on the Toronto Stock Exchange
IT IS FREQUENTLY REPORTED that the transactions on the Toronto Stock Exchange (TSE) are irregular and infrequent so the prices quoted as closing on the exchange are often unreliable. This hasExpand
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