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Liquidity and Asset Pricing: Evidence from Indian Stock Market
Indian Journal of Finance and Banking
In this research article, we present a liquidity premium based asset pricing model and test it in the Indian stock market. Using high-frequency data of stocks listed in the National Stock Exchange, we show that observed illiquidity has a significant negative impact on realized stock returns even after controlling for the up and down market, volatility, and effects of derivatives trading. The illiquidity measure is modified for its time variations, and then the modified measure is used to assessdoi:10.46281/ijfb.v4i1.604 fatcat:n3znmfadprbezbsyqyv2n2mr3e