A Time-Series Approach to Liquidity in Asset Pricing
The main focus of this dissertation is to examine liquidity determinants of stock returns in a time-series asset-pricing model. The main questions I address are if the effects of liquidity on asset returns have significant time-variation and is there a well specified time-series model that can captu...
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| Format: | Others |
| Language: | English English |
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Florida State University
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| Online Access: | http://purl.flvc.org/fsu/fd/FSU_migr_etd-3244 |
| Summary: | The main focus of this dissertation is to examine liquidity determinants of stock returns in a time-series asset-pricing model. The main questions I address are if the effects of liquidity on asset returns have significant time-variation and is there a well specified time-series model that can capture this relationship. In addition, I test whether the effect of liquidity is stronger in bear markets than in bull markets, whether liquidity has a reducing effect on other variables that are commonly significant in predicting asset returns, and if there exists some specific liquidity proxies that have greater explanatory power than other comparable proxies. === A Dissertation submitted to the Department of Finance in partial fulfillment of the requirements for the degree of Doctor of Philosophy. === Summer Semester, 2004. === May 3, 2004. === Time-Variation, Asset Pricing, Time-Series, Liquidity, Dual Betas === Includes bibliographical references. === David R. Peterson, Professor Directing Dissertation; Paul Beaumont, Outside Committee Member; Donald A. Nast, Committee Member; Ahmet Inci, Committee Member. |
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