Liquidity and the cross-section of international stock returns

Nusret Cakici and Adam Zaremba ()

Journal of Banking & Finance, 2021, vol. 127, issue C

Abstract: We perform a comprehensive investigation of the illiquidity premium in international stock markets. We examine several established liquidity measures in 45 countries for the years 1990–2020. Our findings provide convincing evidence that liquidity pricing depends strongly on firm size. Although the premium is globally present, it exists only among microcap stocks, which have negligible economic significance. Outside the microcap universe, virtually no liquidity effect can be observed.

Keywords: Illiquidity premium; Liquidity effect; International markets; Microcaps; Amihud's measure; Turnover ratio; Bid-ask spread; Zero-return days; Asset pricing; Return predictability (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:127:y:2021:i:c:s0378426621000819

DOI: 10.1016/j.jbankfin.2021.106123

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