Systematic liquidity risk and asset pricing: evidence from London Stock Exchange

Khelifa Mazouz, Dima W.H. Alrabadi, Mark Freeman and Shuxing Yin

International Journal of Banking, Accounting and Finance, 2010, vol. 2, issue 4, 387-403

Abstract: This study examines whether systematic liquidity risk is priced on the London Stock Exchange (LSE). We use the proportional quoted bid-ask spread, Amihud's (2002) market illiquidity ratio, and turnover rate as liquidity proxies. In contrast to the US studies, we do not find evidence that systematic liquidity risk is priced on the LSE.

Keywords: London Stock Exchange; LSE; liquidity risk; systematic risk; asset pricing; UK; United Kingdom; proportional quoted bid-ask spread; market illiquidity ratio; turnover rate. (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:ids:injbaf:v:2:y:2010:i:4:p:387-403

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