Article ID Journal Published Year Pages File Type
5089169 Journal of Banking & Finance 2013 12 Pages PDF
Abstract
► We implement a time-varying decomposition of the US illiquidity premium 1927-2010. ► Estimated average annual total illiquidity premium is 1.74-2.08%. ► Illiquidity level premium is on average larger than illiquidity risk premium. ► Illiquidity risk premium increases substantially during crises and downturns. ► Largest illiquidity risk premium component is related to hedging of wealth shocks.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
The components of the illiquidity premium: An empirical analysis of US stocks 1927-2010
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