The illiquidity premium: further evidence from global and Asia-Pacific markets

Journal Publication ResearchOnline@JCU
Amihud, Yakov;Hameed, Allaudeen;Kang, Wenjin;Zhang, Huiping
Huiping Zhang
Abstract

We document the prevalence of illiquidity premium in the international equity markets, across 45 markets over the period from 1990 to 2015. The global average illiquidity premium is economically significant at 0.85% per month and it is 1.05% for the Asia-Pacific markets, after adjusting for exposure to global and regional return factors. We also find that investors demand a premium for stock illiquidity, after controlling for various firm characteristics that predict the cross-section of stock returns.

Journal

NTU Management Review

Publication Name

N/A

Volume

29

ISBN/ISSN

1018-1601

Edition

N/A

Issue

1

Pages Count

24

Location

N/A

Publisher

Guoli Taiwan Daxue Guanli Xueyuan

Publisher Url

N/A

Publisher Location

N/A

Publish Date

N/A

Url

N/A

Date

N/A

EISSN

N/A

DOI

10.6226/NTUMR.2018.Speech