Lei, Xiaoyan; Zhou, Yuegang; Zhu, Xiaoneng - In: Pacific-Basin Finance Journal 25 (2013) C, pp. 273-293
This paper investigates the tripartite association among capital gains, illiquidity, and stock market returns. We find that trading in capital gains improves stock liquidity. We also find that realized stock returns are negatively related to the joint term of illiquidity and capital gains, but...