Systematic Liquidity Risk and Asset Pricing: Evidence from London Stock Exchange
18 Pages Posted: 16 May 2009 Last revised: 13 Aug 2009
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: Suggested Citation
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