A Comparative Analysis of Liquidity Measures
Abstract
During the last decades the investigation of liquidity has attracted the interest of many researchers and practitioners. Liquidity plays a pivotal role in the determination of the risk-return trade-off of securities, comprising several aspects of trading such as transaction cost, trading activity and price impact, leading more often than usual to an ambiguous risk-return foundation, on an asset pricing framework.This paper empirically...
Paper Details
Title
A Comparative Analysis of Liquidity Measures
Published Date
Jan 1, 2014
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