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...

A recent innovation in equity markets is the introduction of market maker ser-vices paid for by the listed companies themselves. We investigate why firms arewilling to pay a cost to improve the secondary market liquidity of their shares. Weshow that a contributing factor in this decision is the...

We investigate the information content of aggregate stock market liquidity and askwhether it may be a useful realtime indicator, both for nancial stress, and real economicactivity in Norway. We describe the development in a set of liquidity proxies at the OsloStock Exchange (OSE) for the period...

While the hypothesis that ownership concentration can aect the value of a company has seen a lotof empirical study, little light has been shed on a complementary problem, that these concentratedowners have a cost of their position due to an undiversified portfolio. Using a unique data set ofthe...

Existing evidence using US data show a simultaneous covariability between a stock’s priceand quarterly flows into and out of the stock by institutional investors. In this paper we usedata on monthly changes in holdings by all investor groups at the Oslo Stock Exchange toshow that such...

We document a strong relation between stock market liquidity and the businesscycle. Stock market liquidity worsens when the economy is slowing down, and thiseffect is most pronounced for small firms. Using data for both the US and Norway,we show that stock market liquidity predicts the current...

This paper analyzes return patterns and determinants at the Oslo Stock Ex-change (OSE) in the period 1980{2006. We nd that a three-factor model con-taining the market, a size factor and a liquidity factor provides a reasonable t forthe cross-section of Norwegian stock returns. As expected, oil...