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The Illiquidity Premium in SG & HK Stocks
By Student  •  January 20, 2011
In The Illiquidity Premia in Asset Returns, Khandani (a notable collaborator of Andy Lo) noted the substantial alpha that could be obtained simply by picking stocks that were traded the least. This observed empirical fact can have any number of essentially unprovable reasons – investors demand more expected return (lower price) for an illiquid stock [...]...
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By Student
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