Asset pricing under the presence of transactions cost: evidence from the UK Stock Market

Gregoriou, Andros and Ioannidis, Christos 2004. Asset pricing under the presence of transactions cost: evidence from the UK Stock Market. Ekonomia 7 (2) , pp. 139-151.

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Abstract

In this paper we test for the inclusion of the bid-ask spread in the consumption CAPM, in the UK stock market over the time period of 1980-2000. This is undertaken by extending the VAR approach proposed by Campbell and Shiller (1988a) to incorporate the bid-ask spread. Overall the statistical tests are unable to reject the bid-ask spread as an independent explanatory variable in the consumption CAPM. This leads to the conclusion that transactions costs should be included in asset pricing models.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Schools > Business (Including Economics)
Subjects:	H Social Sciences > HB Economic Theory H Social Sciences > HG Finance
Publisher:	Cyprus Economic Society
ISSN:	1025-5508
Last Modified:	19 Mar 2016 22:58
URI:	https://orca.cardiff.ac.uk/id/eprint/33581

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