Is there an illiquidity premium in frontier markets?

被引：32

作者：

Sterenczak, Szymon ^{[1
]}

Zaremba, Adam ^{[2
,3
]}

Umar, Zaghum ^{[4
]}

机构：

[1] Poznan Univ Econ & Business, Inst Accounting & Finance Management, Dept Corp Finance, Al Niepodleglosci 10, PL-61875 Poznan, Poland

[2] Poznan Univ Econ & Business, Inst Finance, Dept Investment & Capital Markets, Al Niepodleglosci 10, PL-61875 Poznan, Poland

[3] Univ Dubai, Acad City, Dubai Business Sch, Emirates Rd,POB 14143, Dubai, U Arab Emirates

[4] Zayed Univ, Coll Business, POB 144534, Abu Dhabi, U Arab Emirates

来源：

EMERGING MARKETS REVIEW | 2020年 / 42卷

关键词：

Illiquidity premium; Liquidity; Frontier stock markets; Asset pricing; The cross-section of returns; BID-ASK SPREAD; CROSS-SECTION; EXPECTED RETURNS; STOCK RETURNS; LIQUIDITY RISK; PRICE IMPACT; VOLATILITY; EQUITIES; COSTS; SIZE;

D O I：

10.1016/j.ememar.2019.100673

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We perform a comprehensive examination of the role of stock-level liquidity in the cross-section of frontier market stock returns. Using several popular liquidity measures and a battery of asset pricing tests, we investigate the illiquidity premium in 22 countries for the years 1991-2019. Contrary to typical relationships in developed and emerging markets, we find no evidence of illiquidity premium in frontier equities. Our findings support the hypothesis that for countries not fully integrated with the global economy, the diversification benefits offset the illiquidity, which, in turn, proves less important.

引用

页数：19

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