Market liquidity and stock returns in the Norwegian stock market
Sondre R. Fiskerstrand and
Anders B. Fjellvikås
Finance Research Letters, 2017, vol. 21, issue C, 272-276
We analyze the liquidity sensitivity of stock returns in the Norwegian stock market over the period 1983–2015. Even though the liquidity measures we apply are standard in the literature, we find no evidence of a relationship between returns and market liquidity. This is in strong contrast to the evidence of a significant sensitivity to liquidity in the US market, and suggest further analysis on the topic.
Keywords: Market liquidity; Stock returns; Stocks; Survivor bias free; Predictability (search for similar items in EconPapers)
JEL-codes: C01 C10 C22 C23 G1 G12 G14 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:21:y:2017:i:c:p:272-276
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