Liquidity Pricing of Illiquid Assets

نویسنده

  • Gianluca Marcato
چکیده

So far the main body of the asset pricing literature has computed liquidity risk premia for either markets or single assets. The vast majority of these studies have been focused on fairly liquid assets, but recently a greater attempt to price such an important component of the asset pricing factors in markets with high illiquidity (especially in real estate) has also started to take place. The present paper brings these recent studies together, and estimates the liquidity premium of illiquid assets looking at three main sources – time on market, liquidation bias and market liquidity – using three main empirical estimation models and several liquidity measures suggested in the literature. We find strong evidence of a high premium that varies across sectors and periods. This estimation is robust to different measures of liquidity and model specifications.

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تاریخ انتشار 2014