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http://hdl.handle.net/10071/6739
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Campo DC | Valor | Idioma |
---|---|---|
dc.contributor.author | Pereira, J. | en_US |
dc.contributor.author | Zhang, H. | en_US |
dc.date.accessioned | 2014-03-25T16:41:53Z | - |
dc.date.available | 2014-03-25T16:41:53Z | - |
dc.date.issued | 2010 | en_US |
dc.identifier | http://dx.doi.org/10.1017/S0022109010000323 | en_US |
dc.identifier.issn | 0022-1090 | en_US |
dc.identifier.uri | https://ciencia.iscte-iul.pt/public/pub/id/10633 | en_US |
dc.identifier.uri | http://hdl.handle.net/10071/6739 | - |
dc.description | WOS:000284129700010 (Nº de Acesso Web of Science) | - |
dc.description | “Prémio Científico ISCTE-IUL 2011” | - |
dc.description.abstract | This paper offers a rational explanation for the puzzling empirical fact that stock returns decrease with an increase in the volatility of liquidity. We model liquidity as a stochastic price impact process and define the liquidity premium as the additional return necessary to compensate a multiperiod investor for the adverse price impact of trading. The model demonstrates that a fully rational, utility maximizing, risk-averse investor can take advantage of time-varying liquidity by adapting his trades to the state of liquidity. We provide new empirical evidence supportive of the model. | en_US |
dc.language.iso | eng | en_US |
dc.publisher | Cambridge University Press | en_US |
dc.rights | openAccess | en_US |
dc.title | Stock returns and the volatility of liquidity | en_US |
dc.type | article | en_US |
degois.publication.firstPage | 1077 | en_US |
degois.publication.lastPage | 1110 | en_US |
degois.publication.issue | 4 | en_US |
degois.publication.title | Journal of Financial and Quantitative Analysis | en_US |
dc.date.updated | 2014-03-25T16:36:50Z | - |
Aparece nas coleções: | DF-RI - Artigos em revistas internacionais com arbitragem científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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PereiraZhang_2008DEC01.pdf | 276,64 kB | Adobe PDF | Ver/Abrir |
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