haku: @indexterm liquidity / yhteensä: 315
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| Tekijä: | Chordia, T. Subrahmanyam, A. Anshuman, V. R. |
| Otsikko: | Trading activity and expected stock returns |
| Lehti: | Journal of Financial Economics
2001 : JAN, VOL. 59:1, p. 3-32 |
| Asiasana: | Stock returns Asset valuation Liquidity |
| Kieli: | eng |
| Tiivistelmä: | The article analyzes the relation between expected equity returns and the level as well as the volatility of trading activity, a proxy for liquidity. It documents a result contrary to the initial hypothesis, namely, a negative and surprisingly stron cross-sectional relationsjip between stock returns and the variability of dollar trading volume and share turnover, after controlling for size, book-to-market ratio, momentum, and the level of dollar volume or share turnover. |
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