Stock returns with consumption and illiquidity risks

被引：5

作者：

Marquez, Elena ^{[1
]}

Nieto, Belen ^{[2
]}

Rubio, Gonzalo ^{[3
]}

机构：

[1] Univ Complutense Madrid, Dept Appl Econ 3, Sch Business & Econ, Madrid 28223, Spain

[2] Univ Alicante, Dept Finance, E-03080 Alicante, Spain

[3] Univ CEU Cardenal Herrera, Dept Econ & Business, Alicante 03203, Spain

来源：

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2014年 / 29卷

关键词：

Stochastic discount factor; Ultimate consumption risk; Market-wide liquidity; Illiquidity premium; CROSS-SECTION; LIQUIDITY RISK; LONG-RUN; COMMONALITY; MARKET;

D O I：

10.1016/j.iref.2013.04.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper derives closed-form expressions for consumption-based stochastic discount factors adjusted by market-wide illiquidity shocks, considering both contemporaneous and ultimate consumption risk. We find that market-wide illiquidity risk is important for pricing risky assets under alternative preference specifications, although it is especially relevant when we allow for ultimate consumption risk. We also find a large and highly significant illiquidity risk premium for the first quarter of the year suggesting a time-varying behavior of the market-wide illiquidity premium. (C) 2013 Elsevier Inc. All rights reserved.

引用

页码：57 / 74

页数：18

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