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Momentum profits and time varying illiquidity effect

Hilal Anwar Butt, Nader Virk Orcid Logo

Finance Research Letters, Volume: 20, Pages: 253 - 259

Swansea University Author: Nader Virk Orcid Logo

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Published in: Finance Research Letters
ISSN: 1544-6123
Published: Elsevier BV 2017
Online Access: Check full text

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Item Description: Author accepted version available at
Keywords: Momentum strategy; Systematic illiquidity risk; Supplying liquidity; Time varying exposures
College: Faculty of Humanities and Social Sciences
Start Page: 253
End Page: 259