Systematic Liquidity Risk and Asset Pricing: Evidence from London Stock Exchange

18 Pages Posted: 16 May 2009 Last revised: 13 Aug 2009

See all articles by Khelifa Mazouz

Khelifa Mazouz

University of Bradford - School of Management

Dima W. H. Alrabadi

University of Bradford - School of Management

Mark C. Freeman

University of Bradford - School of Management

Date Written: May 16, 2009

Abstract

This study is the first to examine 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 US studies, we do not find evidence that systematic liquidity risk is priced on the LSE.

Keywords: LSE, liquidity, systematic risk, asset pricing

JEL Classification: G1

Suggested Citation

Mazouz, Khelifa and Alrabadi, Dima W. H. and Freeman, Mark C., Systematic Liquidity Risk and Asset Pricing: Evidence from London Stock Exchange (May 16, 2009). Available at SSRN: https://ssrn.com/abstract=1405705 or http://dx.doi.org/10.2139/ssrn.1405705

Khelifa Mazouz (Contact Author)

University of Bradford - School of Management ( email )

Emm Lane
Bradford, West Yorkshire Bd9 4JL
United Kingdom

Dima W. H. Alrabadi

University of Bradford - School of Management ( email )

Emm Lane
Bradford, West Yorkshire Bd9 4JL
United Kingdom

Mark C. Freeman

University of Bradford - School of Management ( email )

Emm Lane
Bradford, West Yorkshire Bd9 4JL
United Kingdom
+44 (0)1274 234363 (Phone)
+44 (0)1274 546866 (Fax)

HOME PAGE: http://www.manag.brad.ac.uk/people/people.php?name=mcfreema

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