The Effects of Beta, Bid‐Ask Spread, Residual Risk, and Size on Stock Returns
基于Merton的CAPM扩展模型，联合估计贝塔风险、残差风险、规模及买卖价差衡量的流动性对股票收益的影响。
ABSTRACT Merton's [26] recent extension of the CAPM proposed that asset returns are an increasing function of their beta risk, residual risk, and size and a decreasing function of the public availability of information about them. Associating the latter with asset liquidity and following Amihud and Mendelson's [2] proposition that asset returns increase with their illiquidity (measured by the bid‐ask spread), we jointly estimate the effects of these four factors on stock returns.