EconPapers    
Economics at your fingertips  
 

Liquidity and equity returns in Borsa Istanbul

Yigit Atilgan, K. Ozgur Demirtas and A. Doruk Gunaydin

Applied Economics, 2016, vol. 48, issue 52, 5075-5092

Abstract: We investigate the relationship between expected returns and liquidity measures in Borsa Istanbul. To do so, we gather a wide range of illiquidity measures that can be applied to the market. Firm-level cross-sectional regressions indicate that there is a positive relationship between various illiquidity measures and one- to six-month ahead stock returns. Findings of the article are robust after using different sample periods and controlling for well-known priced factors, such as market beta, size, book-to-market ratio and momentum. The portfolio analysis reveals that stocks that are in the highest illiquidity quintile earn 7.2%–19.2% higher risk-adjusted annual returns than those in the lowest illiquidity quintile. The illiquidity premium is stronger for small stocks and stocks with higher return volatility and it increases (decreases) during periods of extremely low (high) market returns.

Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2016.1170935 (text/html)
Access to full text is restricted to subscribers.

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:taf:applec:v:48:y:2016:i:52:p:5075-5092

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2019-04-23
Handle: RePEc:taf:applec:v:48:y:2016:i:52:p:5075-5092