Cost of Transacting and Expected Returns in the Nasdaq Market
用1973-1990年纳斯达克数据检验了流动性溢价模型，发现支持证据比纽约证券交易所更强，推测原因是纳斯达克做市商的内部分价更能反映实际交易成本。
ABSTRACT This article empirically examines the liquidity premium predicted by the Amihud and Mendelson (1986) model using Nasdaq data over the 1973–1990 period. The results support the model and are much stronger than for the New York Stock Exchange (NYSE), as reported by Chen and Kan (1989) and Eleswarapu and Reinganum (1993) . I conjecture that the stronger evidence on the Nasdaq is due to the dealers' inside spreads on the Nasdaq being a better proxy for the actual cost of transacting than the quoted spreads on the NYSE, since the Nasdaq dealers do not face competition from limit orders or floor traders.