The illiquidity premium: further evidence from global and Asia-Pacific markets

Amihud, Yakov, Hameed, Allaudeen, Kang, Wenjin, and Zhang, Huiping (2019) The illiquidity premium: further evidence from global and Asia-Pacific markets. NTU Management Review, 29 (1).

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Abstract

We document the prevalence of illiquidity premium in the international equity markets, across 45 markets over the period from 1990 to 2015. The global average illiquidity premium is economically significant at 0.85% per month and it is 1.05% for the Asia-Pacific markets, after adjusting for exposure to global and regional return factors. We also find that investors demand a premium for stock illiquidity, after controlling for various firm characteristics that predict the cross-section of stock returns.

Item ID: 58141
Item Type: Article (Research - C1)
ISSN: 1018-1601
Keywords: illiquidity, illiquidity premium, international stock markets
Date Deposited: 24 Apr 2019 07:40
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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