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Journal Articles

A Review of the Return—Illiquidity Relationship

Jozef Drienko, Tom Smith, Anna von Reibnitz
Journal: Critical Finance Review
Critical Finance Review (2019) 8 (1-2): 127–171.
https://doi.org/10.1561/104.00000052
Published: 17 December 2019
...) sample. The correlation coefficient between ILLIQiy and In SIZEiy (SDRETiy) is −0.490 (0.015) over the out-of-sample period and −0.583 (0.152) over the full sample period. Liquidity and asset pricing Illiquidity risk premium Flight to liquidity G12...
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Includes: Supplementary data
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