This paper empirically examines the relation between the expected stock return and the bid-ask spread. Using the same portfolio formation method as in Amihud and Mendelson (1986) but different test methodologies, we do not find any clear reliable relation between the CAPM risk-adjusted return and the relative bid-ask spread. Our empirical results are more consistent with the conclusions of Cons...

The theory of aggregation most often deals with measures of central tendency. However, sometimes a very different kind of a numeric vector’s synthesis into a single number is required. In this paper we introduce a class of mathematical functions which aim to measure spread or scatter of one-dimensional quantitative data. The proposed definition serves as a common, abstract framework for measure...

We argue that on electronic markets, competition between liquidity providers should reduce the spread until the execution cost using market orders matches that of limit orders. This implies a linear relation between the bid-ask spread and the average impact of market orders, in good agreement with our empirical observations. We then use this relation to justify a strong, and hitherto unnoticed,...

configuration, 138Alternating Register Automata, 25Alternating Tree Register Automata,115ancestor relation ( , ≺), 57ARA, 25ARA(guess, spread), 25ARA(guess, spread, <), 32ATRA, 115ATRA(guess, spread), 115attrXPath, 63Aut, 79Aut , 79

To what extent does thalamo-cortical connectivity in/uence global patterns of macroscopical activity spread in cat cortex? We address this question by simulation of activity /ow in a network model representing cortical areas and thalamic nuclei as nodes with all or none activity. The connectivity schemes employed are based on data from anatomical tracer studies. For two networks, with and witho...

A study of time dispersion in different indoor line-ofsight radio channels in the 492–862 MHz band is presented in this paper. A combined method to filter the noise in the measured impulse response is described. The effect of frequency windowing on the impulse responses and the root mean square (rms) delay spread is also investigated. It has been found that, in general, the use of windows with ...

Objective(s): We evaluated edge artifacts in relation to phantom diameter and reconstruction parameters in point spread function (PSF)-based positron emission tomography (PET) image reconstruction.Methods: PET data were acquired from an original cone-shaped phantom filled with 18F solution (21.9 kBq/mL) for 10 min using a Biograph mCT scanner. The images were reconstructed using the baseline or...