High-Volume Return Premium And Volume-Liquidity Premium
نویسندگان
چکیده
منابع مشابه
Transaction costs, trading volume, and the liquidity premium
In a market with one safe and one risky asset, an investor with a long horizon, constant investment opportunities, and constant relative risk aversion trades with small proportional transaction costs. We derive explicit formulas for the optimal investment policy, its implied welfare, liquidity premium, and trading volume. At the first order, the liquidity premium equals the spread, times share ...
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Hou and Moskowitz (2005) document that common stocks with more price delay in reflecting information yield higher returns and that the delay premium cannot be explained by the CAPM, Fama-French three-factor model, or Carhart’s four-factor model. It cannot be explained by conventional liquidity measures either. They contend that the premium is attributable to inadequate risk sharing arising from...
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ژورنال
عنوان ژورنال: Journal of Business & Economics Research (JBER)
سال: 2012
ISSN: 2157-8893,1542-4448
DOI: 10.19030/jber.v11i1.7521