Liquidity biases in asset pricing tests☆

• 1 May 2010
• journal article
• Published by Elsevier in Journal of Financial Economics
• Vol. 96  (2) , 215-237
• https://doi.org/10.1016/j.jfineco.2009.12.011

Abstract

Keywords

• MICROSTRUCTURE NOISE
• ILLIQUIDITY
• ASSET PRICING
• RETURN PREMIUM
• BIAS CORRECTION
• G12
• G19