Liquidity and Investment Horizon

Volodymyr Vovchak
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Volodymyr Vovchak: University of Lugano and Swiss Finance Institute (PhD Program)

No 14-02, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: The paper investigates the relationship between the investment holding horizon and liquidity. I confirm and expand earlier findings on this issue: less liquid stocks are held by long term investors. Further, I find that stocks held for a short period carry more of liquidity risk. This means that short term investors load on liquidity risk when making investment decisions, which is an extension of the earlier findings of Teo (2011) for hedge funds.

Keywords: Liquidity; Holding horizon; Asset pricing (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2014-01
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp1402

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