Liquidity and Stock Returns: Evidence from the UK Market

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Liquidity and Stock Returns: Evidence from the UK Market

Following Amihud and Mendelson (1986) and Datar et al. (1998), most empirical evidence from US market reveal that stock returns should be an increasing function of bid-ask spread and a decreasing function of turnover rate, confirming the existence of a positive liquidity premium. This paper conducts...

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Bibliographic Details
Main Author:	Tang, Zhiying
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2009
Online Access:	https://eprints.nottingham.ac.uk/23017/

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