Haim Mendelson
University of Rochester
1 paper in the Anchorcite directory, published in 1986, cited 5,349 times in total.
ORCID profileResearch topics
- Corporate Finance and Governance · 1 paper
- Financial Markets and Investment Strategies · 1 paper
- Auditing, Earnings Management, Governance · 1 paper
Frequent co-authors
- Yakov Amihud · 1 paper
Papers
- Asset pricing and the bid-ask spreadJournal of Financial Economics · 1986 · 5,349 citations
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 spreads. The resulting testable hypothesis is that market-observed expexted return is…
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