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P/F/374. Relationship between cross-sectional stock return variation and turnover rate as a proxy for liquidity
- WORDS:
- 3500
- DATE:
- 2005
- PRICE:
- 39.99 GBP
The paper examines the relationship between the stock returns and the liquidity seeking to understand whether or not the cross-sectional variation in stock returns is driven by the changes in the turnover rate (a proxy for liquidity). The test is designed and conducted to measure the liquidity of cross-sectional returns by using the turnover rate in 543 random non-financial UK firms over the period from 1993 to 2003. Conclusions are made about the significance of liquidity (turnover rate) and seasonality phenomenon.
KEYWORDS: f, relationship, cross-sectional, stock, return, variation, turnover, rate, proxy, liquidity,
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