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The pricing of the illiquidity factor’s conditional risk with time-varying premium

Amihud, Yakov; Noh, Joonki - In: Journal of financial markets 56 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10013282487

Illiquidity and stock returns II : cross-section and time-series effects

Amihud, Yakov; Noh, Joonki - In: The review of financial studies 34 (2021) 4, pp. 2101-2123

Persistent link: https://www.econbiz.de/10012504735

The Pricing of the Illiquidity Factor’s Conditional Risk with Time-varying Premium

Amihud, Yakov - 2020

We test the pricing of the conditional systematic risk (β) of IML, a traded liquidity factor of the return premium on illiquid-minus-liquid stocks, with its risk premium varying over time. We find a positive and significant risk premium on conditional IML β, which rises in times of financial...

Persistent link: https://www.econbiz.de/10012855170

Market microstructure and price discovery on the Tokyo Stock Exchange

Amihud, Yakov - In: Japan and the world economy : international journal of … 1 (1989) 4, pp. 341-370

Persistent link: https://www.econbiz.de/10001092087

Illiquidity and stock returns : cross-section and time-series effects

Amihud, Yakov - In: Journal of financial markets 5 (2002) 1, pp. 31-56

Persistent link: https://www.econbiz.de/10001657094

Unexpected inflation and stock returns revisited : evidence from Israel

Amihud, Yakov - In: Journal of money, credit and banking : JMCB 28 (1996) 1, pp. 22-31

Persistent link: https://www.econbiz.de/10015139967

How (not) to integrate the European capital markets

Amihud, Yakov; Mendelson, Haim - In: European financial integration ..., (pp. 73-100). 1991

Persistent link: https://www.econbiz.de/10001435343

Number of shareholders and stock prices : evidence from Japan

Amihud, Yakov; Mendelson, Haim; Uno, Jun - In: The journal of finance : the journal of the American … 54 (1999) 3, pp. 1169-1184

Persistent link: https://www.econbiz.de/10001395720

Asset pricing and the bid-ask spread

Amihud, Yakov - In: Journal of financial economics 17 (1986) 2, pp. 223-249

Persistent link: https://www.econbiz.de/10001015036

Conglomerate mergers, managerial motives and stockholder wealth

Amihud, Yakov - In: Journal of banking & finance 10 (1986) 3, pp. 401-410

Persistent link: https://www.econbiz.de/10001024213

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