| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 960876 | Journal of Financial Markets | 2014 | 24 Pages |
Abstract
⺠Hou and Moskowitz (2005) document the price delay premium. ⺠They attribute the premium to inadequate risk sharing arising from lack of investor recognition. ⺠We show that firms with greater price delay have more difficulty attracting traders. ⺠And, their investors face higher liquidity risk, which accounts for their anomalous returns. ⺠Thus, price delay premium is due to systematic liquidity risk, not inadequate risk sharing.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Ji-Chai Lin, Ajai K. Singh, Ping-Wen (Steven) Sun, Wen Yu,