Illiquidity and Stock Returns: A Revisit

被引：33

作者：

Amihud, Yakov ^{[1
]}

机构：

[1] NYU, New York, NY 10003 USA

来源：

CRITICAL FINANCE REVIEW | 2019年 / 8卷 / 1-2期

关键词：

Liquidity and asset pricing; Illiquidity measure; Liquidity shocks; Liquidity premium; BID-ASK SPREADS; MARKET MICROSTRUCTURE; CROSS-SECTION; LIQUIDITY RISK; SECURITIES; BIAS; EQUILIBRIUM; PRICES; NUMBER; COSTS;

D O I：

10.1561/104.00000073

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper explains and extends my 2002 paper. It presents a return factor of illiquid-minus-liquid stocks (IML), which provides a time-series of the illiquidity premium. The risk-adjusted expected return on IML is positive and significant in the last 63 years and while it is lower in the period that follows my 2002 paper it remains positive and significant. IML also has the predicted response to market illiquidity shocks. In particular, the relation between illiquidity shocks and stock returns is more negative for illiquid stocks even after my study period.

引用

页码：203 / 221

页数：19

共 68 条

[41] There is a risk-return trade-off after all [J].