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Cited by 522

The DOI matches its Crossref record; 33 of the 33 references it cites were found in a registry or an index.

The Effects of Beta, Bid‐Ask Spread, Residual Risk, and Size on Stock Returns

AMIHUD, YAKOV, MENDELSON, HAIM·1989·The Journal of Finance
DOI 10.1111/j.1540-6261.1989.tb05067.x
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Abstract

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.

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Crossref · 10.1111/j.1540-6261.1989.tb05067.x

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Metadata

Authors
AMIHUD, Y., & MENDELSON, H.
Venue
The Journal of Finance
Publisher
Wiley
Published
1989-06
Volume
44
Issue
2
Pages
479-486
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/j.1540-6261.1989.tb05067.x
OpenAlex
W2128617690
Cited by
522
References
33
FWCI
9.60
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: The Effects of Beta, Bid‐Ask Spread, Residual Risk, and Size on Stock Returns. https://app.cochat.ai/papers/10.1111/j.1540-6261.1989.tb05067.x
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AMIHUD, Y., & MENDELSON, H. (1989). The Effects of Beta, Bid‐Ask Spread, Residual Risk, and Size on Stock Returns. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1989.tb05067.x

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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.