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Contribution Details
Type | Master's Thesis |
Scope | Discipline-based scholarship |
Title | Liquidity and the Cross-Section of Returns in Switzerland |
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Institution | University of Zurich |
Faculty | Faculty of Business, Economics and Informatics |
Number of Pages | 54 |
Date | 2020 |
Abstract Text | This thesis examined whether there is a positive relation between future stock returns and illiquidity in Switzerland. Using Fama and MacBeth (1973) regressions and the Amihud (2002) illiquidity measure, no significant relation between liquidity and future stock returns was found. Furthermore, the effects of liquidity and size were difficult to distinguish. The use of an alternative price impact measure showed that this relation is partly due to the Amihud (2002) illiquidity measure. Moreover, the alternative measure stressed the importance of including trading frequency, but did not support the hypothesis of a significant return-liquidity relation. These results suggest that liquidity effects reported on other stock exchanges and at different times cannot be generalized for Switzerland. |
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