The illiquidity premium: International evidence

被引：267

作者：

Amihud, Yakov ^{[1
]}

Hameed, Allaudeen ^{[2
]}

Kang, Wenjin ^{[3
]}

Zhang, Huiping ^{[4
]}

机构：

[1] NYU, Stern Sch Business, New York, NY 10012 USA

[2] Natl Univ Singapore, NUS Business Sch, Singapore 119245, Singapore

[3] Renmin Univ China, Hanqing Adv Inst Econ & Finance, Beijing 100872, Peoples R China

[4] Shanghai Univ Finance & Econ, Sch Finance, Shanghai 200433, Peoples R China

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2015年 / 117卷 / 02期

基金：

中国国家自然科学基金;

关键词：

Illiquidity premium; International markets; Commonality in illiquidity premium; CROSS-SECTION; LIQUIDITY; RETURNS; RISK; PRICES; BIASES; STOCKS; EURO;

D O I：

10.1016/j.jfineco.2015.04.005

中图分类号：

F8 [财政、金融];

学科分类号：

020219 [财政学（含：税收学）];

摘要：

We examine the illiquidity premium in stock markets across 45 countries and present two findings. First, the average illiquidity return premium across countries is positive and significant, after controlling for other pricing factors. The premium is measured by monthly return series on illiquid-minus-liquid stocks or by the coefficient of stock illiquidity estimated from cross section Fama-MacBeth regressions. Second, a commonality exists across countries in the illiquidity return premium, controlling for common global return factors and variation in global illiquidity. This commonality is different from commonality in illiquidity itself and is greater in globally integrated markets. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：350 / 368

页数：19

共 45 条

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