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    The illiquidity premium: International Evidence

    Access Status
    Fulltext not available
    Authors
    Amihud, Y.
    Hameed, A.
    Kang, W.
    Zhang, Huiping
    Date
    2014
    Type
    Journal Article
    
    Metadata
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    Citation
    Amihud, Y. and Hameed, A. and Kang, W. and Zhang, H. 2014. The illiquidity premium: International Evidence. Journal of Financial Economics. 117 (2): pp. 350-368.
    Source Title
    Journal of Financial Economics
    DOI
    10.1016/j.jfineco.2015.04.005
    School
    CBS International
    URI
    http://hdl.handle.net/20.500.11937/40903
    Collection
    • Curtin Research Publications
    Abstract

    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.

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