@article { , title = {Stock liquidity and return distribution: Evidence from the London Stock Exchange}, abstract = {We investigate the relationship between liquidity and the distribution of returns, for all listed firms on the London Stock Exchange between 2002-2018. We find a strong relationship between the distribution of returns, as measured by skewness and kurtosis, and liquidity.}, doi = {10.1016/j.frl.2020.101539}, issn = {1544-6123}, journal = {Finance Research Letters}, publicationstatus = {Published}, publisher = {Elsevier}, url = {https://hull-repository.worktribe.com/output/3496924}, keyword = {Business and Logistics, Skewness, Kurtosis, Liquidity, Amihud ratio, Bid-ask spread, Zero-return days.}, year = {2020}, author = {Wang, Andong and Hudson, Robert and Rhodes, Mark and Zhang, Sijia and Gregoriou, Andros} }