Showing 1 - 10 of 11
Persistent link: https://www.econbiz.de/10001830293
Persistent link: https://www.econbiz.de/10001830298
Persistent link: https://www.econbiz.de/10001830353
Persistent link: https://www.econbiz.de/10001830309
Persistent link: https://www.econbiz.de/10001830312
Persistent link: https://www.econbiz.de/10001830372
This paper presents a liquidity factor IML, the return on illiquid-minus-liquid stock portfolios. The IML, adjusted for the common risk factors, measures the illiquidity premium whose annual alpha is about 4% over the period 1950-2012. I then test whether the systematic risk (β) of IML is...
Persistent link: https://www.econbiz.de/10013033947
Persistent link: https://www.econbiz.de/10013282487
Persistent link: https://www.econbiz.de/10011434206
We test the pricing of the conditional systematic risk (β) of IML, a traded liquidity factor of the return premium on illiquid-minus-liquid stocks, with its risk premium varying over time. We find a positive and significant risk premium on conditional IML β, which rises in times of financial...
Persistent link: https://www.econbiz.de/10012855170