کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
974340 1480115 2016 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Illiquidity premium and expected stock returns in the UK: A new approach
ترجمه فارسی عنوان
حق بیمه عدم نقدینگی و بازده مورد انتظار سهام در انگلستان: یک روش جدید
کلمات کلیدی
مدل های قیمت گذاری دارایی؛ اقدامات نقدینگی چندگانه؛ آزمون Hansen-Jagannathan
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
چکیده انگلیسی


• A single illiquidity measure is proposed to capture the multidimensionality of illiquidity.
• Both parametric and non-parametric methods are applied to investigate the relationship between illiquidity and stock returns in the UK.
• The inclusion of the illiquidity factor in the capital asset pricing model plays a significant role in explaining stock returns.
• The illiquidity-augmented capital asset pricing models yield a small distance error by using Hansen–Jagannathan non-parametric bound.

This study examines the relative importance of liquidity risk for the time-series and cross-section of stock returns in the UK. We propose a simple way to capture the multidimensionality of illiquidity. Our analysis indicates that existing illiquidity measures have considerable asset specific components, which justifies our new approach. Further, we use an alternative test of the Amihud (2002) measure and parametric and non-parametric methods to investigate whether liquidity risk is priced in the UK. We find that the inclusion of the illiquidity factor in the capital asset pricing model plays a significant role in explaining the cross-sectional variation in stock returns, in particular with the Fama–French three-factor model. Further, using Hansen–Jagannathan non-parametric bounds, we find that the illiquidity-augmented capital asset pricing models yield a small distance error, other non-liquidity based models fail to yield economically plausible distance values. Our findings have important implications for managing the liquidity risk of equity portfolios.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 458, 15 September 2016, Pages 52–66
نویسندگان
, ,