The illiquidity premium: International evidence

• 成果类型: Article
• 署名作者: Amihud, Yakov; Hameed, Allaudeen; Kang, Wenjin; Zhang, Huiping
• 署名单位: New York University; National University of Singapore; Renmin University of China; Shanghai University of Finance & Economics
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2015.04.005
• 发表日期: 2015
• 页码: 350-368
• 关键词: Illiquidity premium; International markets; Commonality in illiquidity premium

摘要

We examine the illiquidity premium in stock markets across 45 countries and present two findings. 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, a commonality exists 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. (C) 2015 Elsevier B.V. All rights reserved.