The illiquidity premium: International evidence

Yakov Amihud, Allaudeen Hameed, Wenjin Kang and Huiping Zhang

Journal of Financial Economics, 2015, vol. 117, issue 2, 350-368

Abstract: 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-minus-liquid stocks or by the coefficient of stock illiquidity estimated from cross section Fama-MacBeth regressions. Second, a commonality exists 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.

Keywords: G12; G15; F37; Illiquidity premium; International markets; Commonality in illiquidity premium (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (132)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304405X15000483
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:117:y:2015:i:2:p:350-368

DOI: 10.1016/j.jfineco.2015.04.005

Access Statistics for this article

Journal of Financial Economics is currently edited by G. William Schwert

More articles in Journal of Financial Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().