Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio
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DOI: 10.1016/j.jbankfin.2011.05.014
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More about this item
Keywords
Illiquidity; Trading frequency; Price impact ratio; Asset pricing; UK stock market;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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