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Keywords: Liquidity measures
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Journal Articles
Journal:
Critical Finance Review
Critical Finance Review (2019) 8 (1-2): 29–71.
Published: 17 December 2019
... tests of the LCAPM following the Lee (2011 ) methodology and expanding to: (1) three different time periods spanning 90 years, (2) add NASDAQ stocks, (3) use four alternative liquidity measures, and (4) add risk or characteristic factors. Our extension evidence always fails to support that the main...
Includes: Supplementary data
