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Liquidity and Investment Horizon

Author

Listed:
  • Volodymyr VOVCHAK

    (University of Lugano and Swiss Finance Institute (PhD Program))

Abstract

The paper investigates the relationship between the investment holding horizon and liquidity. I confirm and expand earlier findings on this issue: less liquid stocks are held by long term investors. Further, I find that stocks held for a short period carry more of liquidity risk. This means that short term investors load on liquidity risk when making investment decisions, which is an extension of the earlier findings of Teo (2011) for hedge funds.

Suggested Citation

  • Volodymyr VOVCHAK, 2014. "Liquidity and Investment Horizon," Swiss Finance Institute Research Paper Series 14-02, Swiss Finance Institute.
    • Handle: RePEc:chf:rpseri:rp1402
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    File URL: http://ssrn.com/abstract=2241056
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    More about this item

    Keywords

    Liquidity; Holding horizon; Asset pricing;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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