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Stock liquidity and return distribution: Evidence from the London Stock Exchange.
- Source :
- Finance Research Letters; Mar2021, Vol. 39, pN.PAG-N.PAG, 1p
- Publication Year :
- 2021
-
Abstract
- • We investigate the relationship between liquidity and the distribution of returns. • We measure the distribution of returns by skewness and kurtosis. • We find a strong relationship between skewness and kurtosis, and liquidity. We investigate the relationship between liquidity and the distribution of returns, for all listed firms on the London Stock Exchange between 2002–2018. We find a strong relationship between the distribution of returns, as measured by skewness and kurtosis, and liquidity. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 15446123
- Volume :
- 39
- Database :
- Supplemental Index
- Journal :
- Finance Research Letters
- Publication Type :
- Academic Journal
- Accession number :
- 148986126
- Full Text :
- https://doi.org/10.1016/j.frl.2020.101539