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Liquidity and expected returns : evidence from 1926 - 2008
Baradarannia, M. Reza; Peat, Maurice - In: International review of financial analysis 29 (2013), pp. 10-23
Persistent link: https://www.econbiz.de/10010244145
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Economic policy uncertainty and illiquidity return premium
Hsieh, Hui-Ching; Van Quoc Thinh Nguyen - In: The North American journal of economics and finance : a … 55 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10012667370
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Pricing of time-varying liquidity risk in Finnish stock market : new evidence
Ahmed, Sheraz; Hirvonen, Jani; Hussain, Syed Mujahid - In: The European journal of finance 25 (2019) 13, pp. 1147-1165
Persistent link: https://www.econbiz.de/10012207067
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Stock prices, changes in liquidity, and liquidity premia
Lee, Hyun-Tak; Lee, Bong-soo; Jang, Bong-Gyu - In: Finance research letters 48 (2022), pp. 1-7
Persistent link: https://www.econbiz.de/10013461767
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Stock liquidity and default risk
Brogaard, Jonathan; Li, Dan; Xia, Ying - In: Journal of financial economics 124 (2017) 3, pp. 486-502
Persistent link: https://www.econbiz.de/10011751480
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Price Impact Reversal and the Illiquidity Premium
Busse, Jeffrey A. - 2020
We find that the illiquidity premium exists only among stocks with relatively poor prior month returns, consistent with it representing a return reversal. Mutual fund portfolio holdings and institutional stock trades indicate that institutional investors predominantly sell illiquid-loser stocks....
Persistent link: https://www.econbiz.de/10012839691
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Stock Prices, Changes in Liquidity, and Liquidity Premia
Jang, Bong-Gyu - 2018
This paper develops a present value framework that reflects expectations of future changes in liquidity and liquidity … premia. In our framework, a liquidity premium depends explicitly on prices, dividends, costs, and returns. We find that the … liquidity premium for the CRSP market portfolio is significantly priced over short horizons, but its long-horizon evidence is …
Persistent link: https://www.econbiz.de/10012938069
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What drives the January seasonality in the illiquidity premium? : evidence from international stock markets
Zaremba, Adam; Cakici, Nusret - In: The journal of investment strategies 10 (2021) 1, pp. 43-66
Persistent link: https://www.econbiz.de/10012805362
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Is illiquidity risk priced? : the case of the Polish medium-size emerging stock market
Olbryś, Joanna - In: Bank i kredyt 45 (2014) 6, pp. 513-535
Persistent link: https://www.econbiz.de/10010481215
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Liquidity and the cross-section of international stock returns
Cakici, Nusret; Zaremba, Adam - In: Journal of banking & finance 127 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012820574