Systematic liquidity risk and asset pricing: evidence from London Stock Exchange

Mazouz, Khelifa ORCID: https://orcid.org/0000-0001-6711-1715, Alrabadi, Dima W.H., Freeman, Mark and Yin, Shuxing 2010. Systematic liquidity risk and asset pricing: evidence from London Stock Exchange. International Journal of Banking, Accounting and Finance 2 (4) , pp. 387-403. 10.1504/IJBAAF.2010.037156

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Abstract

This study examines whether systematic liquidity risk is priced on the London Stock Exchange (LSE). We use the proportional quoted bid-ask spread, Amihud's (2002) market illiquidity ratio, and turnover rate as liquidity proxies. In contrast to the US studies, we do not find evidence that systematic liquidity risk is priced on the LSE.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Subjects:	H Social Sciences > HF Commerce H Social Sciences > HG Finance
ISSN:	1755-3830
Last Modified:	27 Oct 2022 08:15
URI:	https://orca.cardiff.ac.uk/id/eprint/61686

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