篇名 | The Illiquidity Premium: Further Evidence from Global and Asia-Pacific Markets |
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卷期 | 29:1 |
作者 | Yakov Amihud 、 Allaudeen Hameed 、 Wenjin Kang 、 Huiping Zhang |
頁次 | 001-024 |
關鍵字 | illiquidity 、 illiquidity premium 、 international stock markets 、 Scopus 、 TSSCI |
出刊日期 | 201904 |
DOI | 10.6226/NTUMR.2018.Speech |
We document the prevalence of illiquidity premium in the international equity markets, across 45 markets over the period from 1990 to 2015. The global average illiquidity premium is economically significant at 0.85% per month and it is 1.05% for the Asia- Pacific markets, after adjusting for exposure to global and regional return factors. We also find that investors demand a premium for stock illiquidity, after controlling for various firm characteristics that predict the cross-section of stock returns.