An empirical examination of the amortized spread1Prior versions of this paper were entitled, `Bid–ask spreads, holding periods, and realized transaction costs.' We are grateful for many helpful comments from Yakov Amihud, Jennifer Conrad, Larry Dann, Diane Del Guercio, Dave Denis, Diane Denis, Craig Dunbar, Ed Dyl, Roger Edelen, Rob Hansen, Mark Huson, Raman Kumar, Chris Lamoureux, John McConnell, Wayne Mikkelson, Megan Partch, Henri Servaes, Vijay Singal, Mike Weisbach, Marc Zenner, and an …

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