Moore, Lyndon - In: Financial History Review 17 (2010) 01, pp. 73-98
The article is based on a unique data set of securities traded on the Madrid <italic>Bolsa</italic> and the Zurich <italic>Börse</italic> between 1902 and 1925. We examine the pricing of liquidity and demonstrate that the liquidity level of securities was an important determinant of cross-sectional returns. Factors that are...