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、买卖价差（衡量流动性）、残差风险和规模这四个因素对股票收益的影响，发现收益随贝塔、残差风险和规模递增，随流动性（信息可得性）递减。
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.