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Liquidity and Asset Pricing: Evidence on the Role of Investor Holding Period · Study

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PreprintLiquidity and Asset Pricing: Evidence on the Role of Investor Holding Period

Randi Næs2008

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Preprintgreen2008

Liquidity and Asset Pricing: Evidence on the Role of Investor Holding Period

Randi Næs · Bernt Arne Ødegaard

24 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Corporate Finance and Governance Financial Analysis and Corporate Governance

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References

1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 1986Asset pricing and the bid-ask spread 2000Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors 1995Size and Book-to-Market Factors in Earnings and Returns 2005Asset pricing with liquidity risk

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2011Pricing Liquidity Risk with Heterogeneous Investment Horizons 2020Pricing Liquidity Risk with Heterogeneous Investment Horizons

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2011The Volatility of Liquidity and Expected Stock Returnspreprint · 13 shared references 2012Market Liquidity: Asset Pricing, Risk, and Crisesbook · 12 shared references 2011Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratioarticle · 11 shared references 2010Liquidity biases in asset pricing tests☆article · 10 shared references 2013Market Liquidity—Theory and Empirical Evidencechapter · 10 shared references 2013Asset Pricing in the Dark: The Cross-Section of OTC Stocksarticle · 10 shared references

Details

Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations24

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.1095226

openalex_workW2004254078

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