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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). doi:10.1016/j.jbankfin.2011.05.014. ISSN 0378-4266

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.