Work by Amihud and Mendelson (1986, 1991)
A)argues that investors will demand a rate of return premium to invest in less liquid stocks.
B)may help explain the small firm effect.
C)may be related to the neglected firm effect.
D)may help explain the small firm effect and may be related to the neglected firm effect.
E)All of the options

Question

Quizplus · Accepted Answer

Lack of liquidity may affect the returns of small and neglected firms; however the theory does not explain why the abnormal returns are concentrated in January.