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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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2012
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| Subjects: | |
| 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 |