Examining the illiquidity premium in stock markets across 45 countries, we find the following. First, the average illiquidity return premium across countries is positive and significant, after controlling for other pricing factors. The premium is measured by monthly return series on...

With the rapid growth of information technology (IT), intangible capital accumulated through investment in Research and Development and other expensed investment becomes an increasingly important component of productive assets. However, under the current U.S. accounting standards, most of the...