Naes, Randi; Skjeltorp, Johannes; Odegaard, Bernt Arne - Handelshøgskolen, Universitetet i Stavanger - 2008
We show evidence of a contemporaneous relation between stock market liquidity and the business cycle. Stock market … stock ownership data from Norway, we find that the portfolio compositions of investors change with the business cycle. Our … size premium in particular, may be related to time variation in stock market liquidity at business cycle frequencies. …