Liquidity and stock returns: empirical test

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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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Bibliographic Details
Main Author:	Liu, Yiyang
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2009
Online Access:	https://eprints.nottingham.ac.uk/23215/

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