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Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio

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References

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1998An empirical examination of the amortized spread1Prior versions of this paper were entitled, `Bid–ask spreads, holding periods, and realized transaction costs.' We are grateful for many helpful comments from Yakov Amihud, Jennifer Conrad, Larry Dann, Diane Del Guercio, Dave Denis, Diane Denis, Craig Dunbar, Ed Dyl, Roger Edelen, Rob Hansen, Mark Huson, Raman Kumar, Chris Lamoureux, John McConnell, Wayne Mikkelson, Megan Partch, Henri Servaes, Vijay Singal, Mike Weisbach, Marc Zenner, and an anonymous referee. In addition, we appreciate the comments from seminar participants at the 1997 American Finance Association meetings, the University of Arizona, Kansas State University, the University of North Carolina, the 1996 Pacific Northwest Finance Conference, Virginia Polytechnic Institute, and the University of Wisconsin. This work has been partially supported by a summer research grant from the Pamplin College of Business.1202 cited

1980An Analysis of Risk and Return Characteristics of Corporate Bankruptcy Using Capital Market Data181 cited

1999Equilibrium interest rate and liquidity premium with transaction costs179 cited

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1999Toward a Strategic Theory of Risk Premium: Moving Beyond Capm169 cited

1982THE NEGLECTED AND SMALL FIRM EFFECTS167 cited