Illiquidity Premium in the MILA

被引：6
|
作者：
Fuenzalida, Darcy [1 ]
Berggrun, Luis [2 ]
Mongrut, Samuel [3 ,4 ]
机构：
[1] Univ Tecn Federico Santa Maria, Ave Espana 1680, Valparaiso, Chile
[2] Univ Icesi, Cali, Colombia
[3] ITESM, EGADE Business Sch, Queretaro, Qro, Mexico
[4] Univ Pacifico Res Ctr CIUP, Lima, Peru
来源：
EMERGING MARKETS FINANCE AND TRADE | 2017年 / 53卷 / 05期
关键词：
Latin American Integrated Market; liquidity; Mercado Integrado Latinoamericano; portfolios; EXPECTED STOCK RETURNS; CROSS-SECTION; LIQUIDITY PREMIUM; MARKET; RISK; BIASES; TESTS; SIZE;
D O I：
10.1080/1540496X.2016.1220858
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This article analyzes the illiquidity premium in the MILA. Using seven proxies for illiquidity, we find a positive and significant illiquidity premium for our sample. A microstructure bias-free portfolio weighting based on past returns is critical in our finding of an illiquidity premium, which is robust to several methodological changes in our portfolio simulations. We also document that the premium is present only in small and high book-to-market stocks. Nonetheless, when we control for size and distress effects, the difference and significance in risk-adjusted returns between portfolios of high and low illiquidity stocks remains.
引用
收藏
页码：1015 / 1029
页数：15
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