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...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2009
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| Online Access: | https://eprints.nottingham.ac.uk/23215/ |
| _version_ | 1848792532040810496 |
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| author | Liu, Yiyang |
| author_facet | Liu, Yiyang |
| author_sort | Liu, Yiyang |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | 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 stock returns in both cross-sectional and time series regressions, even adds firm size and book-to-market ratio as controlling variables. Bid-ask spread, turnover and firm size do not have predictive power to predict returns; however, book-to-market ratio has strong negatively related with stock returns in cross-sectional analysis. Portfolios are formed by bid-ask spread and turnover respectively in time series regression. Moreover, the portfolios’ premium can be explained by CAPM risk. |
| first_indexed | 2025-11-14T18:45:54Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-23215 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:45:54Z |
| publishDate | 2009 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-232152018-01-30T23:05:30Z https://eprints.nottingham.ac.uk/23215/ Liquidity and stock returns: empirical test Liu, Yiyang 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 stock returns in both cross-sectional and time series regressions, even adds firm size and book-to-market ratio as controlling variables. Bid-ask spread, turnover and firm size do not have predictive power to predict returns; however, book-to-market ratio has strong negatively related with stock returns in cross-sectional analysis. Portfolios are formed by bid-ask spread and turnover respectively in time series regression. Moreover, the portfolios’ premium can be explained by CAPM risk. 2009 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/23215/1/dissertation.pdf Liu, Yiyang (2009) Liquidity and stock returns: empirical test. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Liu, Yiyang Liquidity and stock returns: empirical test |
| title | Liquidity and stock returns: empirical test |
| title_full | Liquidity and stock returns: empirical test |
| title_fullStr | Liquidity and stock returns: empirical test |
| title_full_unstemmed | Liquidity and stock returns: empirical test |
| title_short | Liquidity and stock returns: empirical test |
| title_sort | liquidity and stock returns: empirical test |
| url | https://eprints.nottingham.ac.uk/23215/ |