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Asset pricing and the bid-ask spread
Abstract This paper studies the effect of the bid-ask spread on asset pricing. We analyze a model in which investors with different expected holding periods trade assets with different relativeExpand
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Dealership market: Market-making with inventory☆
Abstract This study considers the problem of a price-setting monopolistic market-maker in a dealership market where the stochastic demand and supply are depicted by price-dependent Poisson processesExpand
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Trading Mechanisms and Stock Returns: An Empirical Investigation
This paper examines the effects of the mechanism by which securities are traded on their price behavior. We compare the behavior of open-to-open and close-to-close returns on NYSE stocks, given theExpand
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Liquidity and Asset Prices
We review the theories on how liquidity affects the required returns of capital assets and the empirical studies that test these theories. The theory predicts that both the level of liquidity andExpand
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Liquidity, Maturity, and the Yields on U.S. Treasury Securities
The effects of asset liquidity on expected returns for assets with infinite maturities (stocks) are examined for bonds (Treasury notes and bills with matched maturities of less than six months). TheExpand
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Market Microstructure and Securities Values: Evidence from the Tel Aviv Stock Exchange
This paper examines the value effects of improvements in the trading mechanism. Stocks on the Tel Aviv Stock Exchange were transferred gradually from a daily call auction to a mechanism where theExpand
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Optimal Incentive-Compatible Priority Pricing for the M/M/1 Queue
Consider a system that is modeled as an M/M/1 queueing system with multiple user classes. Each class is characterized by its delay cost per unit of time, its expected service time and its demandExpand
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Pricing computer services: queueing effects
This article studies the effects of queueing delays, and users' related costs, on the management and control of computing resources. It offers a methodology for setting price, utilization, andExpand
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The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns
Merton's recent extension of the capital asset pricing model proposed that asset returns are an increasing function of their beta risk, residual risk, and size, and a decreasing function of theExpand
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Liquidity and Stock Returns
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