کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1003557 | 1481800 | 2015 | 17 صفحه PDF | دانلود رایگان |
We study different dimensions of the illiquidity effect on asset returns in the Finnish market. The market illiquidity is measured as unexpected rises and falls in average monthly zero returns across all stocks. We find that for the returns on the specific class of assets, a flight to the liquidity effect is the most important systematic risk among all dimensions of the illiquidity effect. In other words, higher returns for illiquid assets in good times compensate for a pronounced drop in those returns in bad times and vice versa. Furthermore, only one illiquidity-related factor has a similar pricing capacity as Fama and French's (1993) three-factor model and Carhart's (1997) four-factor model in the context of this study.
Figure optionsDownload as PowerPoint slide
Journal: Research in International Business and Finance - Volume 33, January 2015, Pages 204–220