Does liquidity drive stock market returns? : the role of investor risk aversion
Year of publication: |
2021
|
---|---|
Authors: | Zhang, Qingjing ; Choudhry, Taufiq ; Kuo, Jing-Ming ; Liu, Xiaoquan |
Published in: |
Review of quantitative finance and accounting. - Dordrecht [u.a.] : Springer, ISSN 1573-7179, ZDB-ID 2009625-2. - Vol. 57.2021, 3, p. 929-958
|
Subject: | Systematic factors | Toda-Yamamoto Granger non-causality test | Investor risk aversion | Liquidity | Risikoaversion | Risk aversion | Aktienmarkt | Stock market | Kapitaleinkommen | Capital income | Anlageverhalten | Behavioural finance | Liquidität | Risikoprämie | Risk premium |
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