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Holding periods, illiquidity and disposition effect in the Chinese stock markets

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References

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205 cited

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

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