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...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2013
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| Online Access: | https://eprints.nottingham.ac.uk/26691/ |