Seasonal illiquidity in Australian stocks
University of Melbourne, Graduate School of Management, 1989 - Business & Economics - 48 pages
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Andrew Crouch Beedles and Officer bid-ask spreads BKKM changes in liquidity CONSTANT effect decreases Dimson dividend error terms exhibit seasonal exhibited in Figure Frank Finn FUND 2 FUND Geoffrey Lewis heterogeneity of expectations heterogeneous expectations heteroskedasticity increase in liquidity Industrial firms INDUSTRIAL FUND Industrial portfolios information directing seasonals information traders investors JOINT effect Journal of Financial liquidity and returns liquidity traders LOG-SIZE effect marginal market capitalization n s J n s Neville Hathaway non-traded days non-trading period R.R. Officer RESOURCE effect Resource firms Resource portfolios results of estimating Rickard robust measure Scholes and Williams seasonal changes seasonal effects seasonal in information seasonal information flow seasonal liquidity seasonal variation seasonals in liquidity seasonals in returns SERSONRLS RESOURCE FUND stock liquidity stock returns tax-loss selling hypothesis taxation trading days trend in non-trading uosuies WANAGER yields to maturity