Illiquidity Premium in the MILA

被引：6

作者：

Fuenzalida, Darcy ^{[1
]}

Berggrun, Luis ^{[2
]}

Mongrut, Samuel ^{[3
,4
]}

机构：

[1] Univ Tecn Federico Santa Maria, Ave Espana 1680, Valparaiso, Chile

[2] Univ Icesi, Cali, Colombia

[3] ITESM, EGADE Business Sch, Queretaro, Qro, Mexico

[4] Univ Pacifico Res Ctr CIUP, Lima, Peru

来源：

EMERGING MARKETS FINANCE AND TRADE | 2017年 / 53卷 / 05期

关键词：

Latin American Integrated Market; liquidity; Mercado Integrado Latinoamericano; portfolios; EXPECTED STOCK RETURNS; CROSS-SECTION; LIQUIDITY PREMIUM; MARKET; RISK; BIASES; TESTS; SIZE;

D O I：

10.1080/1540496X.2016.1220858

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This article analyzes the illiquidity premium in the MILA. Using seven proxies for illiquidity, we find a positive and significant illiquidity premium for our sample. A microstructure bias-free portfolio weighting based on past returns is critical in our finding of an illiquidity premium, which is robust to several methodological changes in our portfolio simulations. We also document that the premium is present only in small and high book-to-market stocks. Nonetheless, when we control for size and distress effects, the difference and significance in risk-adjusted returns between portfolios of high and low illiquidity stocks remains.

引用

页码：1015 / 1029

页数：15

共 50 条

[41] Local and global illiquidity effects in the Balkans frontier markets
Milunovich, George
Minovic, Jelena
APPLIED ECONOMICS, 2014, 46 (31) : 3861 - 3873
[42] The Bank of Japan?s equity purchases and stock illiquidity
El Kalak, Izidin
Leung, Woon Sau
Takahashi, Hidenori
Yamada, Kazuo
JOURNAL OF FINANCIAL MARKETS, 2023, 63
[43] An analysis of illiquidity in commodity markets
Cho, Sungjun
Ganepola, Chanaka N.
Garrett, Ian
JOURNAL OF FUTURES MARKETS, 2019, 39 (08) : 962 - 984
[44] Illiquidity and Stock Returns: A Revisit
Amihud, Yakov
CRITICAL FINANCE REVIEW, 2019, 8 (1-2): : 203 - 221
[45] The term structure of illiquidity premia
Kempf, Alexander
Korn, Olaf
Uhrig-Homburg, Marliese
JOURNAL OF BANKING & FINANCE, 2012, 36 (05) : 1381 - 1391
[46] Information, Illiquidity, and Cost of Capital
Lambert, Richard A.
Verrecchia, Robert E.
CONTEMPORARY ACCOUNTING RESEARCH, 2015, 32 (02) : 438 - +
[47] Forecasting the size premium over different time horizons
Zakamulin, Valeriy
JOURNAL OF BANKING & FINANCE, 2013, 37 (03) : 1061 - 1072
[48] What drives the liquidity premium in the Chinese stock market?
An, Jiyoun
Ho, Kin-Yip
Zhang, Zhaoyong
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2020, 54
[49] Co-illiquidity management
Hvidkjaer, Soren
Massa, Massimo
Rzeznik, Aleksandra
JOURNAL OF EMPIRICAL FINANCE, 2023, 74
[50] Beating the Average: Equity Premium Variations, Uncertainty, and Liquidity
Batten, Jonathan A.
Kinateder, Harald
Wagner, Niklas
ABACUS-A JOURNAL OF ACCOUNTING FINANCE AND BUSINESS STUDIES, 2022, 58 (03): : 567 - 588

← 1 2 3 4 5 →