Liquidity Measurement and Stock Returns

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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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Bibliographic Details
Main Author:	Wei, Rui
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2013
Online Access:	https://eprints.nottingham.ac.uk/26691/

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