Cross-section Return Changes: Liquidity and Unsystematic Risk Effects
This paper is aimed to investigate liquidity effects on unsystematic risk pricing to explain the reasons of unsystematic volatility puzzle, and test liquidity as the origin of unsystematic risk and stock return. In order to examine the liquidity effect, portfolio study and Fama-MacBeth regression we...
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| Autores principales: | , |
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| Formato: | article |
| Lenguaje: | FA |
| Publicado: |
Shahid Bahonar University of Kerman
2016
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| Materias: | |
| Acceso en línea: | https://doaj.org/article/3015f055cce14794963e9e2d092b576a |
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