Liquidity And Autocorrelations in Individual Stock Returns  

Oleh:

Avramov, Doron ; Chordia, Tarun ; Goyal, Amit

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 61 no. 5 (Okt. 2006), page 2365-2394.
Topik: liquidity; studies; correlation analysism rates of return; liquidity; securities trading volume; investment policy; regression analysis
Fulltext: p 2365.pdf (233.23KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

Lihat Detail Induk

Isi artikel

This paper documents a strong relationship between short run reversals and stock liquidity even after controlling for trading volume. The largest reversals and the potential contrarian trading strategy profits occur in high turnover, low liquidity stocks, as the price pressures caused by non informational demands for immediacy are accomodated. However the contrain trading strategy profits are smaller than the largely transactions costs. This lack of profitability and the fact that the overall findings are consistent with rational equilibrium paradigms suggest that the violation of the efficient market hypothesis due to short term reversals is not so goergious after all.

Opini Anda

Klik untuk menuliskan opini Anda tentang koleksi ini!

Kembali