Hagströmer, Björn; Nilsson, Birger; Hansson, Björn - Nationalekonomiska Institutionen, Ekonomihögskolan - 2011
AMEX data from 1927 to 2010 to study the illiquidity premium and its variation over time. The components of the illiquidity … premium is in this model derived as the level of expected illiquidity together with three types of illiquidity risks. We … measure illiquidity of individual stocks by the efficient spread proxy developed in Holden (2009) and employ illiquidity …