Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio
(2011)
Journal Article
Gregoriou, A., Florackis, C., & Kostakis, A. (2011). Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio. Journal of Banking and Finance, 35(12), 3335-3350. https://doi.org/10.1016/j.jbankfin.2011.05.014
This study proposes a new price impact ratio as an alternative to the widely used Amihud's (2002) Return-to-Volume ratio. We demonstrate that the new price impact ratio, which is deemed Return-to-Turnover ratio, has a number of appealing features. Us... Read More about Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio.