Liquidity and stock returns: empirical test
This dissertation examines relationship between liquidity and stock returns from 1993 to 2008 in UK stock market. It uses bid-ask spread and turnover as proxy for measure liquidity in cross-sectional and time series regression respectively. Empirical result shows liquidity do not affect expected sto...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2009
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| Online Access: | http://eprints.nottingham.ac.uk/23215/ http://eprints.nottingham.ac.uk/23215/1/dissertation.pdf |