Illiquidity and Stock Returns
| dc.creator | Mooradian, Robert M. | |
| dc.date | 2017-04-01T20:04:37Z | |
| dc.date.accessioned | 2026-07-09T06:48:59Z | |
| dc.description | A quarterly time series of the aggregate commission rate of NYSE trading for the period 1980-2003 is developed. The aggregate commission rate is of significant size, captures trading cost, and reflects market illiquidity. Consistent with financial theory, I find a positive relation between market returns and the aggregate commission rate. The impact of the aggregate commission rate on market returns survives a number of robustness checks and is significant after controlling for interest-rate factors, trading volume, and the variability of trading volume. Overall, the findings suggest that market-wide liquidity is a state variable important for asset pricing. | |
| dc.identifier | doi:10.22004/ag.econ.143268 | |
| dc.identifier | https://ageconsearch.umn.edu/record/143268/files/4-Robert%20M%20Mooradian.pdf | |
| dc.identifier | http://ageconsearch.umn.edu/record/143268 | |
| dc.identifier.uri | http://hdl.handle.net/123456789/581163 | |
| dc.language | eng | |
| dc.publisher | ||
| dc.source | http://ageconsearch.umn.edu/record/143268 | |
| dc.title | Illiquidity and Stock Returns | |
| dc.type | Text |