What drives the January seasonality in the illiquidity premium? Evidence from international stock markets

被引：0
|
作者：
Zaremba, Adam [1 ,2 ,3 ]
Cakici, Nusret [4 ]
机构：
[1] Montpellier Business Sch, 2300 Ave Moulins, F-34185 Montpellier, France
[2] Univ Montpellier, Montpellier Res Management, Montpellier, France
[3] Poznan Univ Econ & Business, Inst Finance, Dept Investment & Capital Markets, Al Niepodleglosci 10, PL-61875 Poznan, Poland
[4] Fordham Univ, Gabelli Sch Business, 45 Columbus Ave, New York, NY 10023 USA
来源：
JOURNAL OF INVESTMENT STRATEGIES | 2021年 / 10卷 / 01期
关键词：
illiquidity premium; liquidity; size effect; small-firm premium; January effect; seasonality; international markets; Amihud's ratio; CROSS-SECTION; LIQUIDITY; RETURN; SIZE; CONSISTENT; EFFICIENCY; ANOMALIES; MOMENTUM; BEHAVIOR; RISK;
D O I：
10.21314/JOIS.2021.008
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study is, to the best of the authors' knowledge, the first attempt to comprehensively examine and explain the January effect in the illiquidity premium. Using data from 23 major international stock markets for the years 1991-2019, we demonstrate a strong and pervasive calendar seasonality in liquidity pricing across different geographical regions. The entire illiquidity premium is realized almost solely in January. Further, we show that this seasonal pattern is driven by a parallel phenomenon in small firms; exposure to the size factor thoroughly explains the January seasonality in the illiquidity premium.
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页码：43 / 66
页数：24
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