This paper studies the effect of the bid-ask spread on asset pricing. We analyze a model in
which investors with different expected holding periods trade assets with different relative …

… Y Amlhud and H Mendelson, Market-makmg wrth mentory … Y Amrhud and H Mendelson,
Market-making wth mventory … Y Amthud and H Mendelson, Market-makmg wtth tnventory …

We review the theories on how liquidity affects the required returns of capital assets and the
empirical studies that test these theories. The theory predicts that both the level of liquidity …

This paper examines the effects of the mechanism by which securities are traded on their
price behavior. We compare the behavior of open‐to‐open and close‐to‐close returns on …

The effects of asset liquidity on expected returns for assets with infinite maturities (stocks) are
examined for bonds (Treasury notes and bills with matched maturities of less than 6 months…

… 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 …

… trading mechanisms (Amihud and Mendelson, 1988b). In Israel, the value benefits were
a very … Mendelson, H., 1982. Market behavior in a clearing house. Econometrica 50, 1505-1524. …

The terminal velocity of bubbles in low viscosity liquids of infinite extent is known to undergo
a marked transition in behavior at an equivalent radius in the order of 0.07 cm. This …

Consider a system that is modeled as an M/M/1 queueing system with multiple user classes.
Each class is characterized by its delay cost per unit of time, its expected service time and …

… We have developed a model that shows how liquidity affects asset prices (Amihud and
Mendelson 1986). The model characterizes assets by their transaction costs, and investors—by …