In this study, we analyze illiquidity premia and their effect on the expected returns of German real estate securities …, we estimate Amihud's illiquidity factors, investigate the relationships between expected returns and illiquidity, and … analyze the effects of expected and unexpected market illiquidity on future returns. We show that illiquidity plays an …

This paper examines the role of illiquidity and duration factor in understanding the momentum profit in the Korean … stock market. We find that the foreigner/institutional illiquidity factor explains the momentum effect. In addition, this … explanatory power of the foreign/institutional illiquidity factor on the momentum profits disappears. In sum, our empirical …

The paper presents an alternative approach to measuring systemic illiquidity applicable to countries with frontier and … emerging financial markets, where other existing methods are not applicable. We develop a novel Systemic Illiquidity Noise (SIN … financial system illiquidity. We empirically apply our method to a set of 10 divergent Central and Eastern Europe countries …