Essays about: "low-frequency effective spread"
Found 1 essay containing the words low-frequency effective spread.
1. Examining the Existence of the Characteristic Liquidity Premium: A Study of the U.S. Stock MarketUniversity essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi
Abstract : This paper examines the existence of a characteristic liquidity premium among U.S. stock returns between January 1964 and December 2021 after adjusting for transaction costs. Liquidity is estimated using four different measures in order to capture different dimensions of liquidity (price impact, trading cost, trading speed, and trading quantity). READ MORE