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capital assetasset pricingpricing modelmodel liquidityliquidity effecteffect theoreticaltheoretical approachcapm basedbased modelliquidity costsbid askask spreadapproach capitalapproach newnew evidenceevidence behaviorbehavior canadiancanadian stockstock pricesprices daysdays surroundingsurrounding exex dividenddividend dayday biasbias correctingcorrecting procedureprocedure betabeta estimationestimation presencepresence tradingtrading paperpaper developdevelop capmmodel incorporateincorporate liquiditycosts modelmodel impliesimplies marketsmarkets nontrivialnontrivial liquiditycosts measuremeasure systematicsystematic riskrisk basedbased returnsreturns netnet bidspread implicationsimplications capmmodel relationshiprelationship expectedexpected returnreturn bidspread positivepositive convexconvex resultsresults differsdiffers amihud
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