The illiquidity premium: international evidence

Amihud, Yakov, Hameed, Allaudeen, Kang, Wenjin, and Zhang, Huiping (2015) The illiquidity premium: international evidence. Journal of Financial Economics, 117 (2). pp. 350-368.

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Examining the illiquidity premium in stock markets across 45 countries, we find the following. First, the average illiquidity return premium across countries is positive and significant, after controlling for other pricing factors. The premium is measured by monthly return series on illiquid-minus-liquid stocks or by the coefficient of stock illiquidity estimated from cross-section Fama-MacBeth regressions. Second, there is a commonality across countries in the illiquidity return premium, controlling for common global return factors and variation in global illiquidity. This commonality is different from commonality in illiquidity itself and is greater in globally-integrated markets.

Item ID: 42806
Item Type: Article (Research - C1)
ISSN: 0304-405X
Keywords: illiquidity premium, international markets, commonality in illiquidity premium
Date Deposited: 24 Feb 2016 04:00
FoR Codes: 14 ECONOMICS > 1402 Applied Economics > 140207 Financial Economics @ 100%
SEO Codes: 90 COMMERCIAL SERVICES AND TOURISM > 9001 Financial Services > 900102 Investment Services (excl. Superannuation) @ 100%
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