Essays in Empirical Asset Pricing:
Thesis advisor: Ronnie Sadka === In the first essay, we estimate liquidity-driven trading volume, denoted as inside volume, based on the joint daily reversal pattern of volume and price. With this measure, we find that firms experience a shock to idiosyncratic volatility display an increase in liqui...
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| Format: | Others |
| Language: | English |
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Boston College
2019
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| Online Access: | http://hdl.handle.net/2345/bc-ir:108482 |