Drew, Michael E.; Marsden, Alastair; Veeraraghavan, Madhu - School of Economics and Finance, Business School - 2004
Standard asset pricing models ignore the costs of liquidity. In this study we advance the ongoing debate on empirical asset pricing and test if liquidity costs (as proxied by turnover rate, turnover ratio and bid-ask spread) affect stock returns for Australian stocks. Our tests use the factor...