Hudson, R and Wang, A and Rhodes, M and Zhang, S and Gregoriou, A
(2020)
Stock Liquidity and Return Distribution : Evidence from the London Stock Exchange.
Finance Research Letters.
ISSN 1544-6123
DOI: https://doi.org/10.1016/j.frl.2020.101539
Abstract
We investigate the relationship between liquidity and the distribution of returns, for all listed firms on the London Stock Exchange between 2002-2018. We find a strong relationship between the distribution of returns, as measured by skewness and kurtosis, and liquidity.
More Information
Identification Number: | https://doi.org/10.1016/j.frl.2020.101539 |
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Status: | Published |
Refereed: | Yes |
Publisher: | Elsevier |
Uncontrolled Keywords: | Finance, 1502 Banking, Finance and Investment, |
Depositing User (symplectic) | Deposited by Rhodes, Mark |
Date Deposited: | 27 Apr 2020 11:34 |
Last Modified: | 12 Jul 2024 04:05 |
Item Type: | Article |
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Note: this is the author's final manuscript and may differ from the published version which should be used for citation purposes.
License: Creative Commons Attribution Non-commercial No Derivatives
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