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| Tekijä: | Datar, Y. Naik, N. Radcliffe, R. |
| Otsikko: | Liquidity and stock returns: an alternative test |
| Lehti: | Journal of Financial Markets
1998 : APR, VOL. 1:2, p. 203-219 |
| Asiasana: | LIQUIDITY STOCK RETURNS TURNOVER |
| Kieli: | eng |
| Tiivistelmä: | This paper provides an alternative test of Amihud and Mendelson's (1986) model using the turnover rate as a proxy for liquidity. The evidence suggests that liquidity plays a significant role in explaining the cross-sectional variation in stock returns. This effect persists after controlling for the well known determinants of stock returns like the firm-size, book-to-market ratio and the firm beta. This paper finds that the liquidity effect is not restricted to the month of January alone and is prevalent throughout the year. |
SCIMA