Sell-order liquidity and the cross-section of expected stock returns

Sell-order liquidity and the cross-section of expected stock returns

We estimate buy- and sell-order illiquidity measures (lambdas) for a comprehensive sample of NYSE stocks. We show that sell-order liquidity is priced more strongly than buy-order liquidity in the cross-section of equity returns. Indeed, our analysis indicates that the liquidity premium in equities e...

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Bibliographic Details
Main Authors: Brennan, Michael, Chordia, Tarun, Subrahmanyam, Avanidhar, TONG, Qing
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2012
Subjects:
Liquidity
Asset pricing
Corporate Finance
Sales and Merchandising
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/3232
https://ink.library.smu.edu.sg/context/lkcsb_research/article/4231/viewcontent/SSRN_id1396328.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/lkcsb_research/3232
https://ink.library.smu.edu.sg/context/lkcsb_research/article/4231/viewcontent/SSRN_id1396328.pdf

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