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The liquidity premium: Evidence from the Polish stock market

Cristina Ganja

The Review of Finance and Banking, 2019, vol. 11, issue 1, 7-13

Abstract: The main purpose of this study is to investigate the existence of a liquidity premium on the Polish stock market, using the liquidity-adjusted CAPM. In order to measure the influence of the liquidity of stocks returns, there was constructed a liquidity factor using the newest high-low spread liquidity measure, developed by Corwin and Schultz (2012). The results have showed that there is a significant liquidity premium positively influencing the excess returns of stocks from the Poland market, and the premium is growing from the most liquid portfolio to the less liquid one.

Date: 2019
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