Liquidity, time-varying betas and anomalies : is the high trading activity enhancing the validity of the CAPM in the UK equity market?
Javier Rojo-Suárez, Ana Belén Alonso-Conde, Ricardo Ferrero-Pozo
| Year of publication: |
2022
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|---|---|
| Authors: | Rojo-Suárez, Javier ; Alonso-Conde, Ana Belén ; Ferrero-Pozo, Ricardo |
| Published in: |
International journal of finance & economics : IJFE. - Chichester [u.a.] : Wiley, ISSN 1099-1158, ZDB-ID 1493204-0. - Vol. 27.2022, 1, p. 45-60
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| Subject: | Amihud illiquidity measure | CAPM | Fama-French model | market anomalies | market efficiency | time-varying beta | Schätzung | Estimation | Theorie | Theory | Betafaktor | Beta risk | Kapitaleinkommen | Capital income | Aktienmarkt | Stock market | Effizienzmarkthypothese | Efficient market hypothesis | Liquidität | Liquidity |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/ijfe.2136 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012814339