The association between information, liquidity and two stock market anomalies : the size effect and seasonalities in equity returns

Moran, Stuart A. (1991). The association between information, liquidity and two stock market anomalies : the size effect and seasonalities in equity returns Honours Thesis, School of Business, The University of Queensland.

       
Attached Files (Some files may be inaccessible until you login with your UQ eSpace credentials)
Name Description MIMEType Size Downloads
THE14729.pdf Full text application/pdf 5.15MB 1
Author Moran, Stuart A.
Thesis Title The association between information, liquidity and two stock market anomalies : the size effect and seasonalities in equity returns
School, Centre or Institute School of Business
Institution The University of Queensland
Publication date 1991
Thesis type Honours Thesis
Total pages 102
Language eng
Subjects 14 Economics
Formatted abstract
In this thesis the association between information, liquidity and two stock market anomalies is investigated. The purpose of this study is to provide evidence consistent with the conjecture that the asset pricing model employed is mis-specifying the return distribution of assets.

Over a ten year period beginning in January 1980, the distributions of information and liquidity were examined for an association with the return distribution of assets. The evidence found suggests that there is a significant relationship between information and excess returns, but no apparent relationship between liquidity and excess returns. Also, the evidence suggests a differential information effect between small and large firms. Furthermore, it appears that after controlling for information, the relationship between size and excess returns reverses in sign. However no theoretical basis exists to explain this phenomena.


 
Citation counts: Google Scholar Search Google Scholar
Created: Wed, 27 Oct 2010, 14:56:21 EST by Ning Jing on behalf of Social Sciences and Humanities Library Service