Sources of liquidity premium: Risk or mispricing?

Pin Huang Chou, Kuan Cheng Ko, K. C.John Wei

研究成果: 書貢獻/報告類型篇章同行評審

摘要

We study three widely used liquidity measures and find that they all carry significant premiums beyond the size, book-to-market, and momentum effects. Although liquidity as a risk factor bears a significant return premium, it is better characterized by a characteristicbased model. Further analysis shows that (1) although the premium persists for up to five years following formation, it diminishes over time and becomes insignificant in the post- 1960 period; (2) the premium is larger for stocks with higher idiosyncratic risk. Thus, the empirical results provide some evidence that supports the mispricing argument.

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主出版物標題Handbook Of Investment Analysis, Portfolio Management, And Financial Derivatives (In 4 Volumes)
發行者World Scientific Publishing Co.
頁面2051-2088
頁數38
3-4
ISBN(電子)9789811269943
ISBN(列印)9789811269936
DOIs
出版狀態已出版 - 8 4月 2024

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