Asset Pricing with Downside Liquidity Risks

被引:31
作者
Anthonisz, Sean A. [1 ]
Putnins, Alis J. [2 ,3 ]
机构
[1] Univ Sydney, Business Sch, Sydney, NSW 2006, Australia
[2] Univ Technol Sydney, UTS Business Sch, Sydney, NSW 2007, Australia
[3] Stockholm Sch Econ, LV-1010 Riga, Latvia
关键词
liquidity risk; liquidity spiral; conditional moment; pricing kernel; downside risk; CROSS-SECTION; STOCHASTIC-DOMINANCE; PORTFOLIO SELECTION; MARKET EQUILIBRIUM; RETURNS; PREFERENCE; VALUATION; PRICES; STOCKS; TRANSPARENCY;
D O I
10.1287/mnsc.2016.2438
中图分类号
C93 [管理学];
学科分类号
12 ; 1201 ; 1202 ; 120202 ;
摘要
We develop a parsimonious liquidity-adjusted downside capital asset pricing model to investigate whether phenomena such as downward liquidity spirals and flights to liquidity impact expected asset returns. We find strong empirical support for the model. Downside liquidity risk (sensitivity of stock liquidity to negative market returns) has an economically meaningful return premium that is 10 times larger than its symmetric analogue. The expected liquidity level and downside market risk are also associated with meaningful return premiums. Downside liquidity risk and its associated premium are higher during periods of low marketwide liquidity and for stocks that are relatively small, illiquid, volatile, and have high book-to-market ratios. These results are consistent with investors requiring compensation for holding assets susceptible to adverse liquidity phenomena. Our findings suggest that mitigation of downside liquidity risk can lower firms' cost of capital.
引用
收藏
页码:2549 / 2572
页数:24
相关论文
共 87 条
[1]   Liquidity risk of corporate bond returns: conditional approach [J].
Acharya, Viral V. ;
Amihud, Yakov ;
Bharath, Sreedhar T. .
JOURNAL OF FINANCIAL ECONOMICS, 2013, 110 (02) :358-386
[2]   Asset pricing with liquidity risk [J].
Acharya, VV ;
Pedersen, LH .
JOURNAL OF FINANCIAL ECONOMICS, 2005, 77 (02) :375-410
[3]   Illiquidity and stock returns: cross-section and time-series effects [J].
Amihud, Y .
JOURNAL OF FINANCIAL MARKETS, 2002, 5 (01) :31-56
[4]   ASSET PRICING AND THE BID ASK SPREAD [J].
AMIHUD, Y ;
MENDELSON, H .
JOURNAL OF FINANCIAL ECONOMICS, 1986, 17 (02) :223-249
[5]   Asymmetric correlations of equity portfolios [J].
Ang, A ;
Chen, J .
JOURNAL OF FINANCIAL ECONOMICS, 2002, 63 (03) :443-494
[6]   The cross-section of volatility and expected returns [J].
Ang, A ;
Hodrick, RJ ;
Xing, YH ;
Zhang, XY .
JOURNAL OF FINANCE, 2006, 61 (01) :259-299
[7]   Downside risk [J].
Ang, Andrew ;
Chen, Joseph ;
Xing, Yuhang .
REVIEW OF FINANCIAL STUDIES, 2006, 19 (04) :1191-1239
[8]  
Angelidis T., 2006, Applied Financial Economics, V16, P835, DOI [10.1080/09603100500426440, DOI 10.1080/09603100500426440]
[9]  
[Anonymous], WORKING PAPER
[10]  
[Anonymous], 1959, Efficient Diversification of Investments