The Diminishing Liquidity Premium

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Market Closure and the Liquidity Premium Puzzle

In contrast to empirical evidence, standard theories conclude that transaction costs only have a second order effect on liquidity premia. In this paper, we show that if one incorporates the well-established fact that market volatility during trading periods is significantly higher than during nontrading periods, then transaction costs have a first order effect that is much greater than that fou...

متن کامل

Essays on Stock Market Liquidity and Liquidity Risk Premium

..............................................................................................................................v Chapter One: Introduction ...................................................................................................1 Chapter Two: Liquidity, Macro Factors and the U.S. Equity Flows to Emerging Markets 3

متن کامل

Investment Opportunities, Liquidity Premium, and Conglomerate Mergers

This paper analyzes the implications of diversification strategies and conglomerate mergers for the cost of capital in a model where the cost of capital depends on liquidity. We show that in a finitely liquid market with asymmetrically informed investors, both the benefits and the costs of diversification can be related to two characteristics of a firm’s investment opportunities. The benefits c...

متن کامل

Price delay premium and liquidity risk ¬リニ

Hou and Moskowitz (2005) document that common stocks with more price delay in reflecting information yield higher returns and that the delay premium cannot be explained by the CAPM, Fama-French three-factor model, or Carhart’s four-factor model. It cannot be explained by conventional liquidity measures either. They contend that the premium is attributable to inadequate risk sharing arising from...

متن کامل

Asset Allocation and the Liquidity Premium for Illiquid Annuities

Academics and practitioners alike have developed numerous techniques for benchmarking investment returns to properly adjust seemingly-high numbers for excessive levels of risk. The same, however, can not be said for liquidity, or the lack thereof. This paper develops a model for analyzing the ex ante liquidity premium demanded by the holder of an illiquid annuity. The annuity is an insurance pr...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: SSRN Electronic Journal

سال: 2008

ISSN: 1556-5068

DOI: 10.2139/ssrn.1089824