A time-series approach to liquidity in asset pricing.

摘要

The main focus of this dissertation is to examine liquidity determinants of stock returns in a time-series asset-pricing model. The main questions I address are if the effects of liquidity on asset returns have significant time-variation and is there a well specified time-series model that can capture this relationship. In addition, I test whether the effect of liquidity is stronger in bear markets than in bull markets, whether liquidity has a reducing effect on other variables that are commonly significant in predicting asset returns, and if there exists some specific liquidity proxies that have greater explanatory power than other comparable proxies.