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| Tekijä: | Kluger, B. Stephan, J. |
| Otsikko: | Alternative liquidity measures and stock returns |
| Lehti: | Review of Quantitative Finance and Accounting
1997 : JAN, VOL. 8:1, p. 19-36 |
| Asiasana: | ACCOUNTING LIQUIDITY STOCK RETURNS |
| Kieli: | eng |
| Tiivistelmä: | This article compares the properties of several common liquidity measures including the bid-ask spread, the liquidity ration and firm size. The authors also use the proportional hazard model to develop a new measure, the relative odds ratio, based on the volume necessary to move prices by a predetermined amount. Although each measure displays a liquidity premium, a composite measure better explains expected returns, suggesting that liquidity is a multidimensional phenomenon. |
SCIMA