Amihud y 2019 illiquidity and stock returns

2020-02-24 10:58

An Analysis of the Amihud Illiquidity Premium. Michael Brennan a. crosssection of stock returns. This findi ng has been confirmed by Chordia, Huh, and. Subrahmanyam (2009) among others.By Yakov Amihud; Illiquidity and stock returns: crosssection and timeseries effects: EconPapers Home About EconPapers. Working Papers Journal Articles Books and Chapters Software Components. Illiquidity and stock returns: crosssection and timeseries effects. Yakov Amihud () amihud y 2019 illiquidity and stock returns

Commonality in liquidity (cC) and the comovement between individual stock illiquidity and market returns (cR) is the dominating systematic risk factor. Covariance between individual stock returns and associated stock liquidity is commanding idiosyncratic risk factor. Amihud, Y. (2002). Illiquidity and stock returns: cross section and

Illiquidity and stock returns: crosssection and timeseries effects These measures of illiquidity are employed in studies that examine the crosssection effect of illiquidity on expected stock returns. Amihud and Mendelson (1986) and Eleswarapu the average across all stocks in each year y of stock illiquidity, ILLIQ iy (defined in (1 YakovAmihud 33. stock returns are decreasing in stock turnover, which is consistent with a negative relationship between liquidity and amihud y 2019 illiquidity and stock returns The impact ofmarket illiquidity on stock excess return suggests the existence of illiquidity premium and helps explain the equity premium puzzle. Suggested Citation: Suggested Citation Amihud, Yakov, Illiquidity and Stock Returns: CrossSection and TimeSeries Effects (2000).

In a seminal paper, Amihud and Mendelson (1986) show a positive relation between illiquidity and stock returns by using the bidask spread for illiquidity proxy. amihud y 2019 illiquidity and stock returns ILLIQUIDITY AND STOCK RETURNS: CrossSection and TimeSeries Effects Abstract increasing function of stock illiquidity, as proposed by Amihud and Mendelson (1986). This study contributes to the study of this hypothesis in two ways. First, it tests the returnliquidity In the crosssectional analysis, we measure the impact of illiquidity and other stock characteristics on monthly stock returns. Following Amihud, in each year we compute annual illiquidity and stock characteristics from daily market data. We then match these variables to the twelve monthly stock returns of the following year.

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