A platform for research: civil engineering, architecture and urbanism
A platform for research: civil engineering, architecture and urbanism
Is Liquidity Risk Priced? Theory and Evidence
This study studies a recently proposed measure of liquidity premium (or discount). Specifically, the liquidity premium we utilize is defined as a function of a time discount factor, a relative risk aversion parameter, and the expected return and volatility of the asset, given the risk-free rate. Using U.S. stock market data, our empirical results confirm that the proposed liquidity premium measure is largely comparable to that commonly used in existing studies. Our results also imply that a risk factor based on the liquidity premium measure not only explains cross-sectional stock returns, but also time-series excess returns on portfolios sorted on the commonly used liquidity measure. In addition, our study suggests that better understanding the liquidity risk leads to sustainable trading for investors.
Is Liquidity Risk Priced? Theory and Evidence
This study studies a recently proposed measure of liquidity premium (or discount). Specifically, the liquidity premium we utilize is defined as a function of a time discount factor, a relative risk aversion parameter, and the expected return and volatility of the asset, given the risk-free rate. Using U.S. stock market data, our empirical results confirm that the proposed liquidity premium measure is largely comparable to that commonly used in existing studies. Our results also imply that a risk factor based on the liquidity premium measure not only explains cross-sectional stock returns, but also time-series excess returns on portfolios sorted on the commonly used liquidity measure. In addition, our study suggests that better understanding the liquidity risk leads to sustainable trading for investors.
Is Liquidity Risk Priced? Theory and Evidence
Seok-Kyun Hur (author) / Chune Young Chung (author) / Chang Liu (author)
2018
Article (Journal)
Electronic Resource
Unknown
Metadata by DOAJ is licensed under CC BY-SA 1.0
| Engineering Index Backfile | 1920
| Online Contents | 1999
Online Contents | 1994