The Illiquidity Premium: Further Evidence from Global and Asia-Pacific Markets

Yakov Amihud ； Allaudeen Hameed ； Wenjin Kang ； Huiping Zhang

《臺大管理論叢》 29卷1期 (2019/04) Pp. 1-24

https://doi.org/10.6226/NTUMR.2018.Speech

摘要

We document the prevalence of illiquidity premium in the international equity markets, across 45 markets over the period from 1990 to 2015. The global average illiquidity premium is economically significant at 0.85% per month and it is 1.05% for the Asia- Pacific markets, after adjusting for exposure to global and regional return factors. We also find that investors demand a premium for stock illiquidity, after controlling for various firm characteristics that predict the cross-section of stock returns.

關鍵字

illiquidity ； illiquidity premium ； international stock markets

參考文獻

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