کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5085027 | 1477924 | 2013 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Liquidity and expected returns-Evidence from 1926-2008
ترجمه فارسی عنوان
نقدشوندگی و بازده مورد انتظار-شواهد از سال 1926-2008
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper re-examines the liquidity effect on stock expected returns in the NYSE over the period 1926-2008, the pre-1963 period, for which there is a lack of research, and the post-1963 period. The results from the entire sample of 1926-2008 show that expected returns increase with the stock level illiquidity. However, illiquidity level has explanatory power in the cross-sectional variation of stock expected returns only over the post-1963 period, and is, both economically and statistically, insignificant for the whole sample and the pre-1963 period. These findings are robust after taking into account various characteristics such as size and risk controls. On the other hand, evidence from the entire sample and the pre-1963 sample suggests that the systematic liquidity risk plays a significant role in the cross-sectional variation of stock expected returns. The different result for the pre- and post-1963 is explained by the portfolio shifts occurred during the economic downturns.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 29, September 2013, Pages 10-23
Journal: International Review of Financial Analysis - Volume 29, September 2013, Pages 10-23
نویسندگان
M. Reza Baradarannia, Maurice Peat,