We investigate the pricing of systematic liquidity risk in UK equities using a large sample of daily data. Employing four alternative measures of liquidity we first find strong evidence of commonality in liquidity across stocks. We apply asymptotic principal component analysis (PCA) on the...

In this paper we examine the characteristics of high frequency pairs trading using a sample of FTSE100 constituent stocks for the period January to December 2007. We show that the excess returns of the strategy are extremely sensitive both to transaction costs and speed of execution. When we...

The time series momentum strategy has been shown to deliver consistent profitability over a long time horizon. Funds pursuing these strategies are now a component of many institutional portfolios, due to the expectation of positive returns in equity bear markets. However, the return drivers of...