Systematic liquidity risk and asset pricing: evidence from London Stock Exchange
by Khelifa Mazouz, Dima W.H. Alrabadi, Mark Freeman, Shuxing Yin
International Journal of Banking, Accounting and Finance (IJBAAF), Vol. 2, No. 4, 2010

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.

Online publication date: Mon, 29-Nov-2010

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