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.

引用

页码：1175 / 1190

页数：16

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