The illiquidity premium: International Evidence
Examining the illiquidity premium in stock markets across 45 countries, we find the following. 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-l...
| Main Authors: | , , , |
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| Format: | Journal Article |
| Published: |
Elsevier
2014
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| Online Access: | http://hdl.handle.net/20.500.11937/40903 |