Purpose – Negative relationship between the return of a stock and its liquidity suggests that the illiquid stocks are … riskier than liquid stocks. Thus, researchers tend to include the stock liquidity as a variable in asset pricing models, where …

of Finnish non-financial stocks based on their DEA scale efficiency scores. The performance of portfolios is evaluated on … using longer reformation intervals. Research limitations/implications – The sample of stocks is not large in spite of its … methodology in cases in which the number of stocks in the sample is large. Originality/value – This paper is the first attempt to …

Purpose – Negative relationship between the return of a stock and its liquidity suggests that the illiquid stocks are … riskier than liquid stocks. Thus, researchers tend to include the stock liquidity as a variable in asset pricing models, where …

of Finnish non‐financial stocks based on their DEA scale efficiency scores. The performance of portfolios is evaluated on … using longer reformation intervals. Research limitations/implications – The sample of stocks is not large in spite of its … methodology in cases in which the number of stocks in the sample is large. Originality/value – This paper is the first attempt to …