Gregoriou, A.; IOANNIDIS, CHRISTOS - Economics and Finance Section, School of Social … - 2003
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. Two econometric models are used; first, Fisher’s (1994) asset pricing model is estimated by GMM, and secondly, the VAR approach proposed by Campbell...