A time-series approach to liquidity in asset pricing |
Posted on:2005-04-15 | Degree:Ph.D | Type:Dissertation |
University:The Florida State University | Candidate:Keene, Marvin A | Full Text:PDF |
GTID:1459390008495780 | Subject:Business Administration |
Abstract/Summary: | |
The main focus of this dissertation is to examine liquidity determinants of stock returns in a time-series asset-pricing model. The main questions I address are if the effects of liquidity on asset returns have significant time-variation and is there a well specified time-series model that can capture this relationship. In addition, I test whether the effect of liquidity is stronger in bear markets than in bull markets, whether liquidity has a reducing effect on other variables that are commonly significant in predicting asset returns, and if there exists some specific liquidity proxies that have greater explanatory power than other comparable proxies. |
Keywords/Search Tags: | Liquidity, Time-series, Returns |
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