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- W1568265741 abstract "In this paper we test for the inclusion of the bid-ask spread in the consumption CAPM, in the UK stock market over the time period of 1980-2000. This is undertaken by extending the VAR approach proposed by Campbell and Shiller (1988a) to incorporate the bid-ask spread. Overall the statistical tests are unable to reject the bid-ask spread as an independent explanatory variable in the consumption CAPM. This leads to the conclusion that transactions costs should be included in asset pricing models." @default.
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- W1568265741 date "2004-01-01" @default.
- W1568265741 modified "2023-09-23" @default.
- W1568265741 title "Asset pricing under the presence of transactions cost: evidence from the UK Stock Market" @default.
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