Pricing Liquidity in the Stock Market

DOI10.1142/9789811202391_0121zbMath1451.91185OpenAlexW3081327436MaRDI QIDQ5139568

Ou Hu, Ding Du

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0121

zbMATH Keywords

sizeinvestmentmomentumtime series regressionliquidity shocksstock market liquiditybook-to-marketcross-section of stock returnsFama and French factor modelsindustry portfoliosmoney market liquidity premiumoperating profitability

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

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