Extreme illiquidity and stock returns: Evidence from Thailand market

被引：0

作者：

Chen, Xi ^{[1
]}

Wang, Junbo ^{[2
]}

Wang, Yanchu ^{[3
]}

Zhong, Xiaoling ^{[4
]}

机构：

[1] Beijing Normal Univ, Bay Area Int Business Sch, Zhuhai, Peoples R China

[2] City Univ Hong Kong, Dept Econ & Finance, Hong Kong, Peoples R China

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

[4] Shenzhen MSU BIT Univ, Dept Engn, Shenzhen, Peoples R China

来源：

PACIFIC-BASIN FINANCE JOURNAL | 2023年 / 82卷

关键词：

Extreme illiquidity; Financial crisis; Tail risk; Thailand stock markets; COMMON RISK-FACTORS; CROSS-SECTION; CORPORATE GOVERNANCE; EXPECTED RETURNS; LIQUIDITY RISK; EQUILIBRIUM;

D O I：

10.1016/j.pacfin.2023.102191

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Extreme illiquidity (EIL) is priced in the cross-section of stock returns in the Thailand market. The EIL premium permeates stock categories with various risk factor loadings and characteristics. EIL is persistent and has predictive power for expected stock returns to at least a one-year horizon. The Market for Alternative Investment (MAI) with a higher proportion of individual investors, who are more active in trading than institutional investors, carries a higher EIL premium than the Stock Exchange of Thailand (SET). While the tradable EIL factor captures an important source of risk missed by the conventional risk factors, EIL as a characteristic has higher explanatory power in the cross-section than EIL as a covariance risk.

引用

页数：20

共 45 条

[1] Asset pricing with liquidity risk [J].

Acharya, VV ;

Pedersen, LH .

JOURNAL OF FINANCIAL ECONOMICS, 2005, 77 (02) :375-410

[2] Illiquidity and stock returns: cross-section and time-series effects [J].

Amihud, Y .

JOURNAL OF FINANCIAL MARKETS, 2002, 5 (01) :31-56

[3] ASSET PRICING AND THE BID ASK SPREAD [J].

AMIHUD, Y ;

MENDELSON, H .

JOURNAL OF FINANCIAL ECONOMICS, 1986, 17 (02) :223-249

[4] The illiquidity premium: International evidence [J].

Amihud, Yakov ;

Hameed, Allaudeen ;

Kang, Wenjin ;

Zhang, Huiping .

JOURNAL OF FINANCIAL ECONOMICS, 2015, 117 (02) :350-368

[5] Downside risk [J].

Ang, Andrew ;

Chen, Joseph ;

Xing, Yuhang .

REVIEW OF FINANCIAL STUDIES, 2006, 19 (04) :1191-1239

[6] Asset Pricing with Downside Liquidity Risks [J].

Anthonisz, Sean A. ;

Putnins, Alis J. .

MANAGEMENT SCIENCE, 2017, 63 (08) :2549-2572

[7] RETRACTED: Common risk factors in the cross-section of corporate bond returns (Retracted Article) [J].

Bai, Jennie ;

Bali, Turan G. ;

Wen, Quan .

JOURNAL OF FINANCIAL ECONOMICS, 2019, 131 (03) :619-642

[8] CAPITAL-MARKET EQUILIBRIUM IN A MEAN-LOWER PARTIAL MOMENT FRAMEWORK [J].

BAWA, VS ;

LINDENBERG, EB .

JOURNAL OF FINANCIAL ECONOMICS, 1977, 5 (02) :189-200

[9] Liquidity and expected returns: Lessons from emerging markets [J].

Bekaert, Geert ;

Harvey, Campbell R. ;

Lundblad, Christian .

REVIEW OF FINANCIAL STUDIES, 2007, 20 (06) :1783-1831

[10] Stock extreme illiquidity and the cost of capital [J].

Belkhir, Mohamed ;

Saad, Mohsen ;

Samet, Anis .

JOURNAL OF BANKING & FINANCE, 2020, 112

← 1 2 3 4 5 →