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and interpretation S ection III explains how to calculatemonitoring indicators, and how to interpret monitoring results. Section III includes two chapters. Chapter 16 discusses three options for calculating indicators: by hand using a calculator, with Microsoft ® Excel spreadsheets containing

this paper contains two parts: descrip five part (Section II) where all the results are stated 532 XEEE TRANSACTIONS ON INFORMATION THEORY, VOL. 1T-24, NO. 5, SEPTEMF..R 1978 and discussed and a formal part (Section III) where all proofs except that of Theorem 2 are given. The proof of Theorem 2

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of detail in the second section may wish to skip to Section III, which reviews the state of the art and current research projects and provides suggestions for further reading. Glossary The following glossary provides, for reference, brief definitions for several terms as used in this paper in the context

This paper shows that over time, expected market illiquidity positively affects ex ante stock excess return, suggesting that expected stock excess return partly represents an illiquidity premium. This complements the cross-sectional positive return–illiquidity relationship. Also, stock returns

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