We propose a new hypothesis-testing method for multipredictor regressions in small samples, where the dependent variable is regressed on lagged variables that are autoregressive. The new test is based on the augmented regression method (Amihud and Hurvich, 2004), which produces reduced-bias...

Cover -- MARKET LIQUIDITY -- Title -- Copyright -- Contents -- Acknowledgments -- Introduction and Overview of the Book -- PART I: THE EFFECT OF LIQUIDITY COSTS ON SECURITIES PRICES AND RETURNS -- Introduction and Overview -- CHAPTER 1 Asset Pricing and the Bid-Ask Spread -- Summary and...