Liquidity of stocks in all ten portfolios

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The results in the table show that the liquidity of stocks in all ten portfolios increases when either institutional sentiment or individual sentiment is higher. The coefficients on sentiment from the ten portfolio regressions are all significantly negative. Results in Table 14 indicate that when investor sentiment is higher, liquidity increases for all stocks in the sample, not just a subset of stocks. Is possible that the Amihud illiquidity measure is a proxy for return volatility?

Reference no: EM13220570

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