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- W2122954881 abstract "Amihud and Mendelson (1986) and Constantinides (1986) provide a theoretical basis for the proposition that assets with higher transactions costs are held by investors for longer holding periods, and vice versa. We examine average holding and bid-ask spreads for Nasdaq stocks from 1983 through 1991 and for New York Stock Exchange (NYSE) stocks from 1975 through 1989 and find strong evidence that, as predicted, the length of investors' holding is related to bid-ask spreads. We also find that the relation between holding and bid-ask spreads is much stronger on Nasdaq, where spreads are larger, than on the NYSE, where spreads are smaller. EARLY ARTICLES BY Harold Demsetz (1968) and Jack Treynor, writing under the pseudonym Walter Bagehot (1971), examine the importance of transactions costs and, in particular, the bid-ask spread, for investment decisions. These seminal papers gave rise to much research regarding the determinants of the bid-ask spread,1 the size of bid-ask spreads in various markets,2 the role of bid-ask spreads in explaining so-called stock market anomalies,3 and the effect of bid-ask spreads on returns from common stocks.4 Several of the latter studies also suggest that the bid-ask spread causes a clientele effect. That is, it affects the frequency with which investors trade securities and causes investors with longer (shorter) expected holding to hold the assets with the higher (lower) transactions costs. This study investigates whether investors with longer (shorter) investment time horizons hold common stocks with higher (lower) bid-ask spreads. Amihud and Mendelson (1986) examine the effect of bid-ask spreads on investors' holding and present a formal proof of their Proposition I, which states, Assets with higher spreads are allocated in equilibrium to portfolios with (the same or) longer expected holding periods (p. 228). That is," @default.
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- W2122954881 date "1997-03-01" @default.
- W2122954881 modified "2023-10-18" @default.
- W2122954881 title "Transactions Costs and Holding Periods for Common Stocks" @default.
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- W2122954881 doi "https://doi.org/10.1111/j.1540-6261.1997.tb03817.x" @default.
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