Does liquidity drive stock market returns? the role of investor risk aversion
In this paper, we explore the relations between liquidity, stock returns, and investor risk aversion as captured by the variance risk premium (VRP). This is motivated by theoretical and empirical evidence in the literature which suggests that investor risk aversion negatively correlates with asset l...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
2021
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/65412/ |