کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9725876 | 1477849 | 2005 | 23 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Asset pricing and systematic liquidity risk: An empirical investigation of the Spanish stock market
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
Systematic liquidity shocks should affect the optimal behavior of agents in financial markets. Indeed, fluctuations in various measures of liquidity are significantly correlated across common stocks. Accordingly, this paper empirically analyzes whether Spanish average returns vary cross sectionally with betas estimated relative to three competing liquidity risk factors. The first one, proposed by Pastor and Stambaugh (2003), is associated with the temporary price fluctuation reversals induced by the order flow. Our market-wide liquidity factor is defined as the difference between returns highly sensitive to changes in the relative bid-ask spread and returns with low sensitivities to those changes. Finally, the aggregate ratio of absolute stock returns to euro volume, as suggested by Amihud [J. Financ. Mark. 5 (2002) 31], is also employed. Our empirical results show that systematic liquidity risk is significantly priced in the Spanish stock market exclusively when betas are measured relative to the illiquidity risk factor based on the price response to one euro of trading volume on either unconditional or conditional versions of liquidity-based asset pricing models.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Economics & Finance - Volume 14, Issue 1, 2005, Pages 81-103
Journal: International Review of Economics & Finance - Volume 14, Issue 1, 2005, Pages 81-103
نویسندگان
Miguel A. MartıÌnez, Belén Nieto, Gonzalo Rubio, Mikel Tapia,