THE SEASONAL BEHAVIOR OF THE LIQUIDITY PREMIUM IN ASSET PRICING

• 成果类型: Article
• 署名作者: ELESWARAPU, VR; REINGANUM, MR
• 署名单位: University of Iowa
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(93)90032-7
• 发表日期: 1993
• 页码: 373-386
• 关键词: bid-ask spreads; asset pricing; seasonality; Liquidity premium

摘要

This paper empirically investigates the seasonal behavior of the liquidity premium in asset pricing. The evidence suggests a strong seasonal component. In the 1961-1990 period, the liquidity premium is reliably positive only during the month of January. For the non-January months, one cannot detect a positive liquidity premium. The impact of the relative bid-ask spreads on asset pricing in non-January months cannot be reliably distinguished from zero. In contrast to Amihud and Mendelson (1986), however, our evidence suggests that the size effect is significant, even after controlling for spreads.