Asset returns and liquidity effects: Evidence from a developed but small market

被引：10
|
作者：
Nguyen, Nhut H. [1 ]
Lo, Ka Hei [1 ]
机构：
[1] Univ Auckland, Dept Accounting & Finance, Auckland 1142, New Zealand
来源：
PACIFIC-BASIN FINANCE JOURNAL | 2013年 / 21卷 / 01期
关键词：
Liquidity; Liquidity risk; Asset pricing; New Zealand; CROSS-SECTION; ILLIQUIDITY; RISK; COSTS; MICROSTRUCTURE; COMMONALITY; CHINESE; PRICES;
D O I：
10.1016/j.pacfin.2012.05.002
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study investigates an important question in the literature of whether there is a return premium for stocks with low liquidity and high liquidity risk. Using a sample of listed stocks in New Zealand from January 1996 to June 2011, we find that there is a significant illiquidity discount and that liquidity risk does not seem to be a priced factor. These results are robust to the presence of commonly known firm characteristics and risk factors. (C) 2012 Elsevier B.V. All rights reserved.
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页码：1175 / 1190
页数：16
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