Does liquidity drive stock market returns? The role of investor risk aversion
Author:
Publisher
Springer Science and Business Media LLC
Subject
Finance,General Business, Management and Accounting,Accounting
Link
https://link.springer.com/content/pdf/10.1007/s11156-021-00966-5.pdf
Reference84 articles.
1. Alexander C (2001) Market models: a guide to financial data analysis, 1st edn. Wiley, Chichester
2. Amihud Y (2002) Illiquidity and stock returns: cross-section and time-series effects. J Financ Mark 5:31–56
3. Amihud Y, Mendelson H (1986) Asset pricing and the bid-ask spread. J Financ Econ 17:223–249
4. Ang A, Bekaert G (2007) Stock return predictability: is it there? Rev Financ Stud 20:651–707
5. Ascioglu A, Hegde SP, Krishnan GV, McDermott JB (2012) Earnings management and market liquidity. Rev Quant Financ Account 38:257–274
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