Mazouz, Khelifa; Alrabadi, Dima W.H.; Freeman, Mark; … - In: International Journal of Banking, Accounting and Finance 2 (2010) 4, pp. 387-403
This study examines 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 the US studies, we do not find evidence that...