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 |
| _version_ | 1848755995709276160 |
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| author | Amihud, Y. Hameed, A. Kang, W. Zhang, Huiping |
| author_facet | Amihud, Y. Hameed, A. Kang, W. Zhang, Huiping |
| author_sort | Amihud, Y. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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-liquid stocks or by the coefficient of stock illiquidity estimated from cross-section Fama-MacBeth regressions. Second, there is a commonality 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. |
| first_indexed | 2025-11-14T09:05:10Z |
| format | Journal Article |
| id | curtin-20.500.11937-40903 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T09:05:10Z |
| publishDate | 2014 |
| publisher | Elsevier |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-409032017-09-13T14:04:52Z The illiquidity premium: International Evidence Amihud, Y. Hameed, A. Kang, W. Zhang, Huiping 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-liquid stocks or by the coefficient of stock illiquidity estimated from cross-section Fama-MacBeth regressions. Second, there is a commonality 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. 2014 Journal Article http://hdl.handle.net/20.500.11937/40903 10.1016/j.jfineco.2015.04.005 Elsevier restricted |
| spellingShingle | Amihud, Y. Hameed, A. Kang, W. Zhang, Huiping The illiquidity premium: International Evidence |
| title | The illiquidity premium: International Evidence |
| title_full | The illiquidity premium: International Evidence |
| title_fullStr | The illiquidity premium: International Evidence |
| title_full_unstemmed | The illiquidity premium: International Evidence |
| title_short | The illiquidity premium: International Evidence |
| title_sort | illiquidity premium: international evidence |
| url | http://hdl.handle.net/20.500.11937/40903 |