作者
William Breen, Laurie Simon Hodrick, Robert A Korajczyk
发表日期
1999/3
期号
205
出版商
Working paper
简介
One under-examined cost of trading is illiquidity. This paper measures equity illiquidity as the change in a firm's stock price associated with its observed trading volume. Increasing the magnitude of net turnover during a 5-minute interval by 0.1% of the shares outstanding produces an average incremental price effect of 2.71%.
引用总数
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