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Trading cost premiums in capital asset returns--a closed form solution

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  • Kane, Alex

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File URL: http://www.sciencedirect.com/science/article/B6VCY-45F90BG-5W/2/628d3059bcfb0ef4e29957d70ae1ad87
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 18 (1994)
Issue (Month): 6 (December)
Pages: 1177-1183

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Handle: RePEc:eee:jbfina:v:18:y:1994:i:6:p:1177-1183

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Web page: http://www.elsevier.com/locate/jbf

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Cited by:
  1. Sugato Chakravarty & Asani Sarkar, 1999. "Liquidity in U.S. fixed income markets: a comparison of the bid-ask spread in corporate, government and municipal bond markets," Staff Reports 73, Federal Reserve Bank of New York.
  2. Shing-yang Hu, 1997. "Trading Turnover and Expected Stock Returns: The Trading Frequency Hypothesis and Evidence from the Tokyo Stock Exchange," Finance 9702001, EconWPA.
  3. Dahai Yu, 1998. "Equilibrium liquidity premia," International Finance Discussion Papers 615, Board of Governors of the Federal Reserve System (U.S.).
  4. Hagemeister, Meike & Kempf, Alexander, 2007. "CAPM und erwartete Renditen: Eine Untersuchung auf Basis der Erwartung von Marktteilnehmern," CFR Working Papers 07-01, University of Cologne, Centre for Financial Research (CFR).
  5. Dey, Malay K., 2005. "Turnover and return in global stock markets," Emerging Markets Review, Elsevier, vol. 6(1), pages 45-67, April.

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