The Illiquidity Premium: Further Evidence from Global and Asia-Pacific Markets

被引：1
|
作者：
Amihud, Yakov [1 ]
Hameed, Allaudeen [2 ]
Kang, Wenjin [3 ]
Zhang, Huiping [4 ]
机构：
[1] NYU, Stern Sch Business, New York, NY 10003 USA
[2] Natl Univ Singapore, NUS Business Sch, Singapore, Singapore
[3] Shanghai Univ Finance & Econ, Sch Finance, Shanghai, Peoples R China
[4] James Cook Univ Singapore, Business IT & Sci, Singapore, Singapore
来源：
NTU MANAGEMENT REVIEW | 2019年 / 29卷 / 01期
关键词：
illiquidity; illiquidity premium; international stock markets; RETURNS; ASK; PRICES; RISK;
D O I：
10.6226/NTUMR.2018.Speech
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
We document the prevalence of illiquidity premium in the international equity markets, across 45 markets over the period from 1990 to 2015. The global average illiquidity premium is economically significant at 0.85% per month and it is 1.05% for the Asia-Pacific markets, after adjusting for exposure to global and regional return factors. We also find that investors demand a premium for stock illiquidity, after controlling for various firm characteristics that predict the cross-section of stock returns.
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页码：1 / 24
页数：24
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