Illiquidity Premia in the Equity Options Market
Author:
Affiliation:
1. University of Toronto, Copenhagen Business School, and FRIC
2. McGill University
3. University of Houston
4. OMERS
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance,Accounting
Link
http://academic.oup.com/rfs/article-pdf/31/3/811/24434444/hhx113.pdf
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4. Asset pricing and the bid-ask spread.;Amihud,;Journal of Financial Economics,1986
5. The effect of beta, bid-ask spread, residual risk, and size on stock returns.;Amihud,;Journal of Finance,1989
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