Liquidity biases and the pricing of cross-sectional idiosyncratic volatility around the world
Year of publication: |
December 2015
|
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Authors: | Han, Yufeng ; Hu, Ting ; Lesmond, David A. |
Published in: |
Journal of financial and quantitative analysis : JFQA. - New York, NY [u.a.] : Cambridge University Press, ISSN 0022-1090, ZDB-ID 219406-5. - Vol. 50.2015, 6, p. 1269-1292
|
Subject: | Börsenkurs | Share price | Marktmikrostruktur | Market microstructure | Geld-Brief-Spanne | Bid-ask spread | Volatilität | Volatility | Liquidität | Liquidity | USA | United States | 1984-2008 |
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