The Volatility of Liquidity and Expected Stock Returns
The pricing of total liquidity risk is studied in the cross-section of stock returns. The study suggests that there is a positive relation between total volatility of liquidity and expected returns. Our measure of liquidity is based on Amihud (2002) and its volatility is measured using daily data....
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| Format: | Others |
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2013
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| Online Access: | http://hdl.handle.net/1969.1/150946 |