Baradarannia, M. Reza; Peat, Maurice - In: International Review of Financial Analysis 29 (2013) C, pp. 10-23
This paper re-examines the liquidity effect on stock expected returns in the NYSE over the period 1926–2008, the pre-1963 period, for which there is a lack of research, and the post-1963 period. The results from the entire sample of 1926–2008 show that expected returns increase with the...
