Liquidity Measurement and Stock Returns
This dissertation tests the liquidity premium theory by using both cross-sectional and time-series model. Results show that cross-sectional illiquidity is positively related to stock return, and the expected liquidity has positively influence on market excess return over time. Also, contemporaneou...
| Main Author: | |
|---|---|
| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2013
|
| Online Access: | http://eprints.nottingham.ac.uk/26691/ http://eprints.nottingham.ac.uk/26691/1/Rui_Wei%2C_2013%2C_Business_School%2C_Sanjay_Banerji..pdf |