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Hu, Danting (2009) Liquidity and Asset returns: test of UK evidence. [Dissertation (University of Nottingham only)] (Unpublished)

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Abstract

Abstract

This paper examines the role of liquidity in explaining the asset return in UK stock market. The monthly data of LSE sample stocks over January 1993 to December 2008 are employed. The liquidity measured by turnover rate and bid-ask spreads are tested through both cross-sectional regression and time-series regression. In addition the well-known size effect, value effect and January seasonality effect are investigated as well. In general, this research shows that the liquidity premium exists in UK stock market and the turnover rate is a more powerful measure for proxy liquidity compared with bid-ask spreads. The study also confirms the negative correlation between the liquidity and asset returns across stocks and over time. It can be concluded that systematic liquidity should be a key determinant of asset returns.

Item Type:	Dissertation (University of Nottingham only)
Depositing User:	EP, Services
Date Deposited:	03 Feb 2010 13:50
Last Modified:	24 Jan 2018 03:34
URI:	https://eprints.nottingham.ac.uk/id/eprint/23219

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