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
收藏
页码：1175 / 1190
页数：16
相关论文
共 50 条
  • [41] Market liquidity and stock returns in the Norwegian stock market
    Leirvik, Thomas
    Fiskerstrand, Sondre R.
    Fjellvikas, Anders B.
    FINANCE RESEARCH LETTERS, 2017, 21 : 272 - 276
  • [42] Reversal returns and expected returns from liquidity provision: Evidence from emerging markets
    Butt, Hilal Anwar
    Hogholm, Kenneth
    Sadaqat, Mohsin
    JOURNAL OF MULTINATIONAL FINANCIAL MANAGEMENT, 2021, 59
  • [43] Weather effects on returns: Evidence from the Korean stock market
    Yoon, Seong-Min
    Kang, Sang Hoon
    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2009, 388 (05) : 682 - 690
  • [44] What is the best composite liquidity proxy for explaining stock returns? Evidence from the Chinese stock market
    Yu, Bo
    Dong, Liang
    Qin, Zhenjiang
    Lam, Keith S. K.
    PACIFIC-BASIN FINANCE JOURNAL, 2025, 91
  • [45] Long-term liquidity effects of large-scale asset purchase programs Evidence from the euro covered bond market
    Weigerding, Michael
    INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2023, 87 : 244 - 264
  • [46] Market Liquidity: Asset Pricing, Risk, and Crises
    Korajczyk, Robert
    QUANTITATIVE FINANCE, 2014, 14 (02) : 211 - 212
  • [47] Asset quality, debt maturity, and market liquidity
    Gong, Yaxian
    Wei, Xu
    FINANCE RESEARCH LETTERS, 2019, 31 : 285 - 293
  • [48] Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition
    Vayanos, Dimitri
    Wang, Jiang
    REVIEW OF FINANCIAL STUDIES, 2012, 25 (05): : 1339 - 1365
  • [49] Asset liquidity and financial contracts: Evidence from aircraft leases
    Gavazza, Alessandro
    JOURNAL OF FINANCIAL ECONOMICS, 2010, 95 (01) : 62 - 84
  • [50] Liquidity and asset pricing: Evidence from the Chinese stock markets
    Zhang, Tianyang
    Lence, Sergio H.
    NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2022, 59
12345