Title: Systematic liquidity risk and asset pricing: evidence from London Stock Exchange

Authors: Khelifa Mazouz, Dima W.H. Alrabadi, Mark Freeman, Shuxing Yin

Addresses: University of Bradford School of Management, Emm Lane, Bradford, BD9 4JL, UK. ' Department of Finance and Banking, Yarmouk University, P.O. Box 566, 21163, Jordan. ' University of Bradford School of Management, Emm Lane, Bradford, BD9 4JL, UK. ' University of Sheffield Management School, Western Bank, Sheffield S10 2TN, UK

Abstract: This study examines whether systematic liquidity risk is priced on the London Stock Exchange (LSE). We use the proportional quoted bid-ask spread, Amihud|s (2002) market illiquidity ratio, and turnover rate as liquidity proxies. In contrast to the US studies, we do not find evidence that systematic liquidity risk is priced on the LSE.

Keywords: London Stock Exchange; LSE; liquidity risk; systematic risk; asset pricing; UK; United Kingdom; proportional quoted bid-ask spread; market illiquidity ratio; turnover rate.

DOI: 10.1504/IJBAAF.2010.037156

International Journal of Banking, Accounting and Finance, 2010 Vol.2 No.4, pp.387 - 403

Published online: 29 Nov 2010 *

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