CEU Electronic Theses and Dissertations, 2011
| Author | Doroshenko, Iryna |
|---|---|
| Title | LIQUIDITY RISK AND EXPECTED STOCK RETURNS: EVIDENCE FROM THE UK |
| Summary | The paper analyzes whether liquidity has an impact on asset pricing on the UK stock market, over time period 2001-2011. I use daily time-series regressions on three Fama-French factor model and four-factor model with liquidity factor. I form different portfolios according to decreasing liquidity for which holders would expect different stock returns. The liquidity measure is based on relative spread. The results show that market illiquidity has a positive effect on expected stock returns. |
| Supervisor | Peter Kondor |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2011/doroshenko_iryna.pdf |
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