The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Transactions Costs and Holding Periods for Common Stocks
Abstract
Amihud and Mendelson (1986) and Constantinides (1986) provide a theoretical basis for the proposition that assets with higher transactions costs are held by investors for longer holding periods, and vice versa. We examine average holding periods and bid‐ask spreads for Nasdaq stocks from 1983 through 1991 and for New York Stock Exchange (NYSE) stocks from 1975 through 1989 and find strong evidence that, as predicted, the length of investors' holding periods is related to bid‐ask spreads. We also find that the relation between holding periods and bid‐ask spreads is much stronger on Nasdaq, where spreads are larger, than on the NYSE, where spreads are smaller.
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Citations
Cites
Investigating causal relations by econometric models and cross-spectral methods
Granger, C. W. J. (1969) · Econometrica · doi:10.2307/1912791 · Cited by 22,989
Cited by
Amihud, Y., Mendelson, H., & Pedersen, L. H. (2005) · Foundations and Trends® in Finance · doi:10.1561/0500000003 · Cited by 820
Metadata
- Authors
- ATKINS, A. B., & DYL, E. A.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1997-03
- Volume
- 52
- Issue
- 1
- Pages
- 309-325
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2122954881
- Cited by
- 205
- References
- 1
- FWCI
- 7.27
- Type
- journal article
- Language
- en
- Open access
- closed
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- ATKINS, A. B., & DYL, E. A. (1997). Transactions Costs and Holding Periods for Common Stocks. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1997.tb03817.x
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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