The Liquidity Premium: Evidence from the UK
The literature review covers the discussion of various asset pricing models such as the Capital Asset Pricing Model, the 3 –Factor Model and the APT as well as their empirical evidences and conjectures in their abilities and inabilities to capture anomalies. Having proposed that liquidity and it...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English English English English English English |
| Published: |
2009
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| Online Access: | https://eprints.nottingham.ac.uk/22873/ |
| _version_ | 1848792467241959424 |
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| author | Chen, Hongjie Desmond |
| author_facet | Chen, Hongjie Desmond |
| author_sort | Chen, Hongjie Desmond |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | The literature review covers the discussion of various asset pricing models such as the Capital Asset Pricing Model, the 3 –Factor Model and the APT as well as their empirical evidences and conjectures in their abilities and inabilities to capture anomalies.
Having proposed that liquidity and its risks are important in asset pricing, this paper also provides empirical evidences in its capability in capturing anomalies. A discussion on the measures used to capture the liquidity risks has been presented.
Both portfolio analysis and cross sectional regressions have been conducted for the analysis for the existence of a liquidity premium in the U.K.
Due to time considerations and availability of data, only the CAPM is utilized as a benchmark. The liquidity proxies used in this study include those of the turnover and bid-ask spread measures. Empirical results have indicated that based on these liquidity measures, a liquidity premium does not exist in the U.K.
Further sorts have been conducted based on the market to book ratio and market value. In addition, this study has found that the CAPM beta as a measure for risk is problematic.
Suggestions have been further proposed for a more detailed analysis in relation to this study in Conclusion. |
| first_indexed | 2025-11-14T18:44:52Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-22873 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English English English English English English |
| last_indexed | 2025-11-14T18:44:52Z |
| publishDate | 2009 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-228732018-06-05T16:00:29Z https://eprints.nottingham.ac.uk/22873/ The Liquidity Premium: Evidence from the UK Chen, Hongjie Desmond The literature review covers the discussion of various asset pricing models such as the Capital Asset Pricing Model, the 3 –Factor Model and the APT as well as their empirical evidences and conjectures in their abilities and inabilities to capture anomalies. Having proposed that liquidity and its risks are important in asset pricing, this paper also provides empirical evidences in its capability in capturing anomalies. A discussion on the measures used to capture the liquidity risks has been presented. Both portfolio analysis and cross sectional regressions have been conducted for the analysis for the existence of a liquidity premium in the U.K. Due to time considerations and availability of data, only the CAPM is utilized as a benchmark. The liquidity proxies used in this study include those of the turnover and bid-ask spread measures. Empirical results have indicated that based on these liquidity measures, a liquidity premium does not exist in the U.K. Further sorts have been conducted based on the market to book ratio and market value. In addition, this study has found that the CAPM beta as a measure for risk is problematic. Suggestions have been further proposed for a more detailed analysis in relation to this study in Conclusion. 2009-09-09 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/22873/1/Title_Page.pdf application/pdf en https://eprints.nottingham.ac.uk/22873/2/Table_of_Contents.pdf application/pdf en https://eprints.nottingham.ac.uk/22873/3/List_of_Appendix.pdf application/pdf en https://eprints.nottingham.ac.uk/22873/4/Summary.pdf application/pdf en https://eprints.nottingham.ac.uk/22873/5/Dissertation_Acknowledgement.pdf application/pdf en https://eprints.nottingham.ac.uk/22873/6/Dissertation.pdf Chen, Hongjie Desmond (2009) The Liquidity Premium: Evidence from the UK. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Chen, Hongjie Desmond The Liquidity Premium: Evidence from the UK |
| title | The Liquidity Premium: Evidence from the UK |
| title_full | The Liquidity Premium: Evidence from the UK |
| title_fullStr | The Liquidity Premium: Evidence from the UK |
| title_full_unstemmed | The Liquidity Premium: Evidence from the UK |
| title_short | The Liquidity Premium: Evidence from the UK |
| title_sort | liquidity premium: evidence from the uk |
| url | https://eprints.nottingham.ac.uk/22873/ |