We investigate the relationship between liquidity and the distribution of returns, for all listed firms on the London Stock Exchange between 2002–2018. We find a strong relationship between the distribution of returns, as measured by skewness and kurtosis, and liquidity.
|Journal||Finance Research Letters|
|Publication status||Published - 12 May 2020|
- Amihud ratio
- Bid-ask spread
- Zero-return days