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- W44754558 abstract "Asset pricing theories, particularly the Capital Asset Pricing Model (CAPM) asserts that the expected returns on any particular capital asset consistsof only two components, namely the returns on a risk-free security and apremium for the risk. This study reexamines the CAPM by incorporating twoimportant variables, namely the bid-ask spread as a measure of the transactioncosts and firm size to test on the validity of both variables in the equilibriumasset returns model. Using the Generalized Linear Regression method asdescribed in Kmenta (1986), this study finds a positive significant relationship between the stock returns and bid-ask spreads as a measure of the transactioncosts for all the three regression models, namely all-companies, average-sizecompanies and ten size-sorted portfolios models. The findings confirm thetheoretical conjecture that bid-ask spreads are priced in the asset returns, andstocks with higher bid-ask spreads carry a liquidity premium in their prices. Theresults suggest that by decreasing the transaction costs will generate a greaterorder flow, which in turn increase the frequency of the market. Nevertheless, thenegative relation between the firm size and stock returns can only be found intwo out of the three regression models, that is, the all-companies and average sizecompanies models. The results corroborate previous studies where smallfirm anomaly exist in the asset pricing model in the KLSE market. However, thesize effect is found to be insignificant in explaining the portfolios returns in theten size-sorted portfolios model. Thus, this study evidenced the ability of thespread variable in explaining the variation in the stock returns as compare to thefirm size variable in the KLSE market." @default.
- W44754558 created "2016-06-24" @default.
- W44754558 creator A5066368129 @default.
- W44754558 date "1998-01-01" @default.
- W44754558 modified "2023-09-27" @default.
- W44754558 title "The Asset Pricing and Bid-Ask Spread: An Empirical Evidence Based on the KLSE Market" @default.
- W44754558 hasPublicationYear "1998" @default.
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