The illiquidity premium: International Evidence

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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...

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Bibliographic Details
Main Authors:	Amihud, Y., Hameed, A., Kang, W., Zhang, Huiping
Format:	Journal Article
Published:	Elsevier 2014
Online Access:	http://hdl.handle.net/20.500.11937/40903

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