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equal when transaction prices are used for the estimation. Models based on quote midpoints indicate that the electronic …
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This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We make use of a new publicly available dataset, the Market...
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; Carhart ; Characteristics ; Risk Factors ; Value ; Size ;Momentum ; Germany …
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