Transactions Costs and Holding Periods for Common Stocks
检验了Amihud和Mendelson（1986）及Constantinides（1986）的理论预测，即交易成本更高的资产被投资者持有更长时间。通过分析纳斯达克和纽约证券交易所的数据，发现持有期与买卖价差之间存在显著正相关，且该关系在价差更大的纳斯达克市场更强。
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 periods 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 periods is related to bid‐ask spreads. We also find that the relation between holding periods and bid‐ask spreads is much stronger on Nasdaq, where spreads are larger, than on the NYSE, where spreads are smaller.