Liquidity and Asset Pricing: Evidence on the Role of Investor Holding Period

We use data on actual holding periods for all investors in a stock market over a10-year period to investigate the links between holding periods, liquidity, and assetreturns. Microstructure measures of liquidity are shown to be important determinantsof the holding period decision of individual investors...

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Year of publication:	2009-03-01
Authors:	Næs, Randi ; Ødegaard, Bernt Arne
Institutions:	Universitetet <Stavanger> / School of Business Administration
Subject:	Mikrostrukturtheorie <Kapitalmarkttheorie> \| Liquidität \| Frist \| time limit

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Extent:	628736 bytes 40 p. application/pdf
Series:	Universitetet i Stavanger - School of Business Administration - Publications UiS Working Papers in Economics and Finance ; 19/2009
Type of publication:	Book / Working Paper
Language:	English
Classification:	G10 - General Financial Markets. General ; G11 - Portfolio Choice ; G12 - Asset Pricing ; Corporate finance and investment policy. General ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Working Papers, Preprints ; Norway
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10009305210