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The bid-ask bias and the size effect: A test of the Blume-Stambaugh bid-ask bias effect hypothesis

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  • Branch, Ben
  • Echevarria, David P.

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  • Branch, Ben & Echevarria, David P., 1998. "The bid-ask bias and the size effect: A test of the Blume-Stambaugh bid-ask bias effect hypothesis," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(1), pages 129-148.
    • Handle: RePEc:eee:quaeco:v:38:y:1998:i:1:p:129-148
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    References listed on IDEAS

    as
    1. Stoll, Hans R. & Whaley, Robert E., 1983. "Transaction costs and the small firm effect," Journal of Financial Economics, Elsevier, vol. 12(1), pages 57-79, June.
    2. Blume, Marshall E. & Stambaugh, Robert F., 1983. "Biases in computed returns : An application to the size effect," Journal of Financial Economics, Elsevier, vol. 12(3), pages 387-404, November.
    3. Choi, J. Y. & Salandro, Dan & Shastri, Kuldeep, 1988. "On the Estimation of Bid-Ask Spreads: Theory and Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(2), pages 219-230, June.
    4. Branch, Ben & Chang, Kyungchun, 1985. "Tax-Loss Trading, Is the Game Over or Have the Rules Changed?," The Financial Review, Eastern Finance Association, vol. 20(1), pages 55-69, February.
    5. Keim, Donald B., 1983. "Size-related anomalies and stock return seasonality : Further empirical evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 13-32, June.
    6. Bhardwaj, Ravinder K & Brooks, LeRoy D, 1992. "The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias," Journal of Finance, American Finance Association, vol. 47(2), pages 553-575, June.
    7. Harold Demsetz, 1968. "The Cost of Transacting," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 82(1), pages 33-53.
    8. Glosten, Lawrence R, 1987. "Components of the Bid-Ask Spread and the Statistical Properties of Transaction Prices," Journal of Finance, American Finance Association, vol. 42(5), pages 1293-1307, December.
    9. repec:bla:jfinan:v:44:y:1989:i:2:p:479-86 is not listed on IDEAS
    10. Marshall Blume & Robert Stambaugh, "undated". "Biases in Computed Returns: An Application to the Size Effect (Revision of 2-83)," Rodney L. White Center for Financial Research Working Papers 11-83, Wharton School Rodney L. White Center for Financial Research.
    11. Roll, Richard, 1983. "On computing mean returns and the small firm premium," Journal of Financial Economics, Elsevier, vol. 12(3), pages 371-386, November.
    12. Dyl, Edward A, 1977. "Capital Gains Taxation and Year-End Stock Market Behavior," Journal of Finance, American Finance Association, vol. 32(1), pages 165-175, March.
    13. Branch, Ben & Echevarria, David P, 1991. "The Impact of Bid-Ask Prices on Market Anomalies," The Financial Review, Eastern Finance Association, vol. 26(2), pages 249-268, May.
    14. Branch, Ben & Freed, Walter, 1977. "Bid-Asked Spreads on the Amex and the Big Board," Journal of Finance, American Finance Association, vol. 32(1), pages 159-163, March.
    15. Roll, Richard, 1984. "A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market," Journal of Finance, American Finance Association, vol. 39(4), pages 1127-1139, September.
    16. Reinganum, Marc R., 1981. "Misspecification of capital asset pricing : Empirical anomalies based on earnings' yields and market values," Journal of Financial Economics, Elsevier, vol. 9(1), pages 19-46, March.
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