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Illiquidity, momentum traders, incentives, and book to market: explaining and testing the factor drivers of stock market returns

Illiquidity, momentum traders, incentives, and book to market: explaining and testing the factor drivers of stock market returns
流动性不足、动量交易者、激励措施和按市值计价：解释和测试股市回报的因素驱动因素
批准号：
DP0209729
负责人：
Prof Peter Swan
金额：
$54.01万
依托单位：
The University of New South Wales
依托单位国家：
澳大利亚
项目类别：
Discovery Projects
财政年份：
2002
资助国家：
澳大利亚
项目状态：
已结题
起止时间：
2002-03-06 至 2006-12-31
来源：
https://dataportal.arc.gov.au/RGS/Web/Grants/DP0209729
关键词：
Illiquiditymomentumtradersincentivesbook

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I build on my new illiquidity explanation for the equity premium based on the realisation that government bonds turn over many times faster than equity and that trading is both voluntary and endogenous. By introducing these new theoretical developments an
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