The illiquidity premium: International evidence

We examine the illiquidity premium in stock markets across 45 countries and present two findings. 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-minu...

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Bibliographische Detailangaben

Veröffentlicht in:	Journal of financial economics 2015-08, Vol.117 (2), p.350-368
Hauptverfasser:	Amihud, Yakov, Hameed, Allaudeen, Kang, Wenjin, Zhang, Huiping
Format:	Artikel
Sprache:	eng
Schlagworte:	Commonality in illiquidity premium F37 G12 G15 Illiquidity premium International markets Liquidity Pricing Rates of return Regression analysis Risk premiums Securities markets Stock exchange Stocks Studies
Online-Zugang:	Volltext
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