Market microstructure and asset pricing: On the compensation for illiquidity in stock returns

• 成果类型: Article
• 署名作者: Brennan, MJ; Subrahmanyam, A
• 署名单位: University of London; London School Economics & Political Science
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(95)00870-K
• 发表日期: 1996
• 页码: 441-464
• 关键词: Asset pricing; Market microstructure

摘要

Models of price formation in securities markets suggest that privately informed investors create significant illiquidity costs for uninformed investors, implying that the required rates of return should be higher for securities that are relatively illiquid. We investigate the empirical relation between monthly stock returns and measures of illiquity obtained from intraday data. We find a significant relation between required rates of return and these measures after adjusting for the Fama and French risk factors, and also after accounting for the effects of the stock price level.