An equilibrium pricing model with decreasing marginal transaction costs.

From: Quarterly Journal of Business and Economics | Date: September 22, 1990| Author: Ismail, Badr E.; Kim, Moon K. | Copyright information

An Equilibrium Pricing Model With Decreasing Marginal Transaction Costs

Abstract

The theoretical model developed in this study establishes that when

marginal transaction costs are decreasing, the expected rate of return on

a security is related positively to its systematic risk and its average

marginal transaction costs. The empirical part of the study relies on the

bid-ask price spread and a number of alternativ...

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