English, Article edition: The Cross Section of Expected Returns and Amortized Spreads Zhongzhi (Lawrence) He; Lawrence Kryzanowski

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Physical Description
  • article
Language
  • English

Edition details

Title
  • The Cross Section of Expected Returns and Amortized Spreads
Author
  • Zhongzhi (Lawrence) He
  • Lawrence Kryzanowski
Physical Description
  • article
Notes
  • The cross-sectional relationship between expected returns and amortized spreads is studied in an overlapping-generations economy with an average investor. The commonality in liquidity is directly incorporated into the asset-pricing relation. In a static equilibrium, the amortized spread of an asset is related to its expected return through four channels; namely: the equilibrium zero-beta rate, the market risk premium, a level effect, and an incremental sensitivity effect. Although both are present over the entire period, their relative importance shifts from a significant level to a significant sensitivity effect from the earlier to most recent sub-period in the Canadian stock market.
  • Amortized spread, asset pricing, liquidity commonality, clientele effect, share turnover, JEL Classification: G11, JEL Classification: G12
  • RePEc:wsi:rpbfmp:v:09:y:2006:i:04:p:597-638
Language
  • English
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