Liquidity and Expected Returns: Lessons from Emerging Markets

Preprint

1 January 2003

preprint
Published by Elsevier in SSRN Electronic Journal

https://doi.org/10.2139/ssrn.424480

Abstract

Given the cross-sectional and temporal variation in their liquidity, emerging equity markets provide an ideal setting to examine the impact of liquidity on expe

Keywords

LIQUIDITY
LIQUIDITY RISK
ASSET PRICING
EMERGING MARKETS
MARKET INTEGRATION
MARKET SEGMENTATION
LIQUIDITY RISK FACTOR
LOCAL LIQUIDITY
ZERO RETURNS
BID-ASK SPREAD
PRICE IMPACT
LIQUIDITY MEASURES

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