Some of the material in is restricted to members of the community. By logging in, you may be able to gain additional access to certain collections or items. If you have questions about access or logging in, please use the form on the Contact Page.
The main focus of this dissertation is to examine liquidity determinants of stock returns in a time-series asset-pricing model. The main questions I address are if the effects of liquidity on asset returns have significant time-variation and is there a well specified time-series model that can capture this relationship. In addition, I test whether the effect of liquidity is stronger in bear markets than in bull markets, whether liquidity has a reducing effect on other variables that are commonly significant in predicting asset returns, and if there exists some specific liquidity proxies that have greater explanatory power than other comparable proxies.
A Dissertation submitted to the Department of Finance in partial fulfillment of the requirements for the degree of Doctor of Philosophy.
Includes bibliographical references.
David R. Peterson, Professor Directing Dissertation; Paul Beaumont, Outside Committee Member; Donald A. Nast, Committee Member; Ahmet Inci, Committee Member.
Florida State University
Use and Reproduction
This Item is protected by copyright and/or related rights. You are free to use this Item in any way that is permitted by the copyright and related rights legislation that applies to your use. For other uses you need to obtain permission from the rights-holder(s). The copyright in theses and dissertations completed at Florida State University is held by the students who author them.