Systematic Liquidity Risk and Asset Pricing : Evidence from London Stock Exchange

This study is the first to examine whether systematic liquidity risk is priced on the London Stock Exchange (LSE). We use the proportional quoted bid-ask spread, Amihud's (2002) market illiquidity ratio, and turnover rate as liquidity proxies. In contrast to US studies, we do not find evidence that systematic liquidity risk is priced on the LSE

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Year of publication:	2009
Authors:	Mazouz, Khelifa
Other Persons:	Alrabadi, Dima W. H. (contributor) ; Freeman, Mark C. (contributor)
Publisher:	[2009]: [S.l.] : SSRN
Subject:	Börse \| Bourse \| Großbritannien \| United Kingdom \| London \| Liquidität \| Liquidity \| Börsenkurs \| Share price \| CAPM \| Aktienmarkt \| Stock market

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Extent:	1 Online-Ressource (18 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 16, 2009 erstellt
Other identifiers:	10.2139/ssrn.1405705 [DOI]
Classification:	G1 - General Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013159660