Liquidity and the cross-section of international stock returns

被引：23

作者：

Cakici, Nusret ^{[1
]}

Zaremba, Adam ^{[2
,3
,4
]}

机构：

[1] Fordham Univ, Gabelli Sch Business, 45 Columbus Ave,Room 510, New York, NY 10023 USA

[2] Montpellier Business Sch, 2300 Ave Moulins, F-34185 Montpellier, France

[3] Univ Montpellier, Montpellier Res Management, Montpellier, France

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

来源：

JOURNAL OF BANKING & FINANCE | 2020年 / 127卷

关键词：

Illiquidity premium; Liquidity effect; International markets; Microcaps; Amihud?s measure; Turnover ratio; Bid-ask spread; Zero-return days; Asset pricing; Return predictability; MARKET LIQUIDITY; EXPECTED RETURNS; ILLIQUIDITY; RISK; EQUILIBRIUM; MOMENTUM; BEHAVIOR; PREMIUM; SIZE;

D O I：

10.1016/j.jbankfin.2021.106123

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We perform a comprehensive investigation of the illiquidity premium in international stock markets. We examine several established liquidity measures in 45 countries for the years 1990-2020. Our findings provide convincing evidence that liquidity pricing depends strongly on firm size. Although the premium is globally present, it exists only among microcap stocks, which have negligible economic significance. Outside the microcap universe, virtually no liquidity effect can be observed. (c) 2021 Elsevier B.V. All rights reserved.

引用

页数：13

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