Liquidity and Stock Returns: An Empirical Study of the U.K. Equity Market
The relationship between liquidity and stock returns for U.S. market has been examined widely in recent decades. Using the U.K. data, this paper explores that there is a liquidity premium for illiquidity stocks from the angle of liquidity level. Two approaches are employed in explaining the cross-se...
| Main Author: | |
|---|---|
| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2009
|
| Online Access: | https://eprints.nottingham.ac.uk/22976/ |
| _version_ | 1848792486758055936 |
|---|---|
| author | Wang, Nana |
| author_facet | Wang, Nana |
| author_sort | Wang, Nana |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | The relationship between liquidity and stock returns for U.S. market has been examined widely in recent decades. Using the U.K. data, this paper explores that there is a liquidity premium for illiquidity stocks from the angle of liquidity level. Two approaches are employed in explaining the cross-sectional stock returns: cross-sectional regression and liquidity-sorted portfolio analysis. Furthermore, the robustness of liquidity premium is tested through the subperiod analysis and January effect. The excess return for illiquid stocks is more dominant in the month of January relative to the remaining months. |
| first_indexed | 2025-11-14T18:45:10Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-22976 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:45:10Z |
| publishDate | 2009 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-229762017-12-23T01:53:53Z https://eprints.nottingham.ac.uk/22976/ Liquidity and Stock Returns: An Empirical Study of the U.K. Equity Market Wang, Nana The relationship between liquidity and stock returns for U.S. market has been examined widely in recent decades. Using the U.K. data, this paper explores that there is a liquidity premium for illiquidity stocks from the angle of liquidity level. Two approaches are employed in explaining the cross-sectional stock returns: cross-sectional regression and liquidity-sorted portfolio analysis. Furthermore, the robustness of liquidity premium is tested through the subperiod analysis and January effect. The excess return for illiquid stocks is more dominant in the month of January relative to the remaining months. 2009-09-14 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/22976/1/Diss-nana_wang.pdf Wang, Nana (2009) Liquidity and Stock Returns: An Empirical Study of the U.K. Equity Market. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Wang, Nana Liquidity and Stock Returns: An Empirical Study of the U.K. Equity Market |
| title | Liquidity and Stock Returns: An Empirical Study of the U.K. Equity Market |
| title_full | Liquidity and Stock Returns: An Empirical Study of the U.K. Equity Market |
| title_fullStr | Liquidity and Stock Returns: An Empirical Study of the U.K. Equity Market |
| title_full_unstemmed | Liquidity and Stock Returns: An Empirical Study of the U.K. Equity Market |
| title_short | Liquidity and Stock Returns: An Empirical Study of the U.K. Equity Market |
| title_sort | liquidity and stock returns: an empirical study of the u.k. equity market |
| url | https://eprints.nottingham.ac.uk/22976/ |