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A Review of the Return–Illiquidity Relationship

Jozef Drienko, Tom Smith, Anna von Reibnitz

Critical Finance Review, 2019. DOI 10.1561/104.00000052

Has this study been replicated?

This paper is itself a replication attempt. The study it set out to replicate is listed below.

Study replicated

• Illiquidity and stock returns: cross-section and time-series effects, Amihud (2002). Journal of Financial Markets. View paper

Cite this record

Drienko, J., Smith, T., & von Reibnitz, A. (2019). A Review of the Return–Illiquidity Relationship. Critical Finance Review, 8(1–2), 127–171. https://doi.org/10.1561/104.00000052

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