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.
原文 | ???core.languages.en_GB??? |
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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 |
卷 | 3-4 |
ISBN(電子) | 9789811269943 |
ISBN(列印) | 9789811269936 |
DOIs | |
出版狀態 | 已出版 - 8 4月 2024 |