Liquidity, time‐varying betas and anomalies: Is the high trading activity enhancing the validity of the CAPM in the UK equity market? - Rojo‐Suárez, Javier; Alonso‐Conde, Ana Belén; Ferrero‐Pozo, Ricardo (International journal of finance and economics, 2022)
Keywords: Amihud illiquidity measure; CAPM; Fama–French model; Liquidity; market anomalies; market efficiency; time‐varying beta; United Kingdom--UK