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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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  • Kane, Alex, 1994. "Trading cost premiums in capital asset returns--a closed form solution," Journal of Banking & Finance, Elsevier, vol. 18(6), pages 1177-1183, December.
    • Handle: RePEc:eee:jbfina:v:18:y:1994:i:6:p:1177-1183
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    Cited by:

    1. Dey, Malay K., 2005. "Turnover and return in global stock markets," Emerging Markets Review, Elsevier, vol. 6(1), pages 45-67, April.
    2. Shing-yang Hu, 1997. "Trading Turnover and Expected Stock Returns: The Trading Frequency Hypothesis and Evidence from the Tokyo Stock Exchange," Finance 9702001, University Library of Munich, Germany.
    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. 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.

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