Reversal returns and expected returns from liquidity provision: Evidence from emerging markets
نویسندگان
چکیده
منابع مشابه
Liquidity and Expected Returns: Lessons from Emerging Markets
Given the cross-sectional and temporal variation in their liquidity, emerging equity markets provide an ideal setting to examine the impact of liquidity on expected returns. Our main liquidity measure is a transformation of the proportion of zero daily firm returns, averaged over the month. We find that it significantly predicts future returns, whereas alternative measures such as turnover do n...
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ژورنال
عنوان ژورنال: Journal of Multinational Financial Management
سال: 2021
ISSN: 1042-444X
DOI: 10.1016/j.mulfin.2020.100664