流动性与资产定价:投资者持有期作用的证据

EFA 2008 Athens Meetings (Archive) Pub Date : 2009-03-01 DOI:10.2139/ssrn.1095226

Randi Naes, B. A. Ødegaard

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引用次数: 27

摘要

我们使用股票市场所有投资者在10年期间的实际持有期数据来调查持有期、流动性和资产回报之间的联系。微观流动性指标是影响个人投资者持有期决策的重要因素。不同类型投资者的平均持有期不同。周转率并不能完美地反映持有期。换手率和价差都与股票收益有关，但持有期与股票收益无关。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Liquidity and Asset Pricing: Evidence on the Role of Investor Holding Period

We use data on actual holding periods for all investors in a stock market over a 10-year period to investigate the links between holding periods, liquidity, and asset returns. Microstructure measures of liquidity are shown to be important determinants of the holding period decision of individual investors. Average holding periods differ across different investor types. Turnover is an imperfect proxy for holding period. While both turnover and spread are related to stock returns, holding period is not.

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来源期刊

EFA 2008 Athens Meetings (Archive)

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