کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
10475278 929104 2005 30 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The pricing discount for limited liquidity: evidence from SWX Swiss Exchange and the Nasdaq
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
The pricing discount for limited liquidity: evidence from SWX Swiss Exchange and the Nasdaq
چکیده انگلیسی
We investigate the pricing discount for limited liquidity. Unlike previous studies that have examined the relation between historical returns and liquidity, ours looks directly at current stock prices. This approach requires less data and yields up-to-date information about limited liquidity discounts. We analyze data from the Swiss exchange and the Nasdaq during 1995-2001, and find a statistically and economically significant price-liquidity relation in both markets. We test the robustness of that relation with a procedure that does not rely on specific distributional assumptions. Our findings are unaffected. According to the evidence, the median discount can reach 30%.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 12, Issue 2, March 2005, Pages 239-268
نویسندگان
, ,