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How should liquidity be measured?

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Author Info
Aitken, Michael
Comerton-Forde, Carole
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File URL: http://www.sciencedirect.com/science/article/B6VFF-47CR9M2-3/2/2c73f49e7fe5463eb0760095c8f7d192
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Article provided by Elsevier in its journal Pacific-Basin Finance Journal.

Volume (Year): 11 (2003)
Issue (Month): 1 (January)
Pages: 45-59
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Handle: RePEc:eee:pacfin:v:11:y:2003:i:1:p:45-59

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Web page: http://www.elsevier.com/locate/pacfin

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  1. Andreas Park, 2008. "Bid-Ask Spreads and Volume:The Role of Trade Timing," Working Papers tecipa-309, University of Toronto, Department of Economics. [Downloadable!]
  2. Chollete, Lorán & Næs, Randi & Skjeltorp, Johannes A., 2006. "Pricing Implications of Shared Variance in Liquidity Measures," Discussion Papers 2006/9, Department of Finance and Management Science, Norwegian School of Economics and Business Administration, revised 21 Jun 2007. [Downloadable!]
  3. Timotheos Angelidis & Alexandros Benos, 2006. "Liquidity adjusted value-at-risk based on the components of the bid-ask spread," Applied Financial Economics, Taylor and Francis Journals, vol. 16(11), pages 835-851, July. [Downloadable!] (restricted)
  4. Saffi, Pedro, 2008. "Expected returns and liquidity risk: Does entrepreneurial income matter?," IESE Research Papers D/749, IESE Business School. [Downloadable!]
  5. Timotheos Angelidis & Alexandros Benos, . "The Components of the Bid-Ask Spread: The case of the Athens Stock Exchange," Working Papers 0615, University of Crete, Department of Economics. [Downloadable!]
    Other versions:
  6. Chollete, Lorán & Næs, Randi & Skjeltorp, Johannes A., 2008. "The Risk Components of Liquidity," Discussion Papers 2008/7, Department of Finance and Management Science, Norwegian School of Economics and Business Administration. [Downloadable!]
    Other versions:
  7. Björn Hagströmer & Richard G. Anderson & Jane M. Binner & Birger Nilsson, 2009. "Dynamics in systematic liquidity," Working Papers 2009-025, Federal Reserve Bank of St. Louis. [Downloadable!]
    Other versions:
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This page was last updated on 2009-12-3.


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