Type of Document	Dissertation
Author	Keene, Marvin Anthony
Author's Email Address	marvin_keene@yahoo.com
URN	etd-05132004-160324
Title	A Time-Series Approach to Liquidity in Asset Pricing
Degree	Doctor of Philosophy
Department	Finance, Department of
Advisory Committee	Advisor Name Title David R. Peterson Committee Chair Ahmet C. Inci Committee Member Donald A. Nast Committee Member Paul M. Beaumont Committee Member
Keywords	Time-Variation Asset Pricing Time-Series Liquidity Dual Betas
Date of Defense	2004-05-03
Availability	unrestricted
Abstract The main focus of this dissertation is to examine liquidity determinants of stock returns in a time-series asset-pricing model. The main questions I address are if the effects of liquidity on asset returns have significant time-variation and is there a well specified time-series model that can capture this relationship. In addition, I test whether the effect of liquidity is stronger in bear markets than in bull markets, whether liquidity has a reducing effect on other variables that are commonly significant in predicting asset returns, and if there exists some specific liquidity proxies that have greater explanatory power than other comparable proxies.
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