Trading Frequency and Asset Pricing on the London Stock Exchange : Evidence from a New Price Impact Ratio

@inproceedings{Florackis2011TradingFA,
  title={Trading Frequency and Asset Pricing on the London Stock Exchange : Evidence from a New Price Impact Ratio},
  author={Chrisostomos Florackis and Andros Gregoriou and Alexandros Kostakis},
  year={2011}
}
In this study we propose a new price impact ratio as an alternative to the widely used Amihud’s (2002) Return-to-Volume ratio (RtoV). This new measure, which is deemed Return-to-Turnover ratio (RtoTR), essentially modifies RtoV by substituting trading volume in its denominator with the turnover ratio for each security. We demonstrate that the new price impact ratio has a number of appealing features. Using daily data from all stocks listed on the London Stock Exchange over the period 1991-2008… CONTINUE READING

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