Browsing Arbeidsnotater / Working Papers by Subject "holding period"
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Liquidity and Asset Pricing: Evidence on the Role of Investor Holding Period
(Working Papers;11/2007, Working paper, 2007)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 ...