臺大管理論叢 NTU Management Review VOL.29 NO.1

1 DOI:10.6226/NTUMR.2018.Speech 2018 Management Theory and Practice Conference Keynote Speech The Illiquidity Premium: Further Evidence from Global and Asia-Pacific Markets 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. 【 Keywords 】 illiquidity, illiquidity premium, international stock markets Yakov Amihud , Stern School of Business, New York University Allaudeen Hameed , NUS Business School, National University of Singapore Wenjin Kang , School of Finance, Shanghai University of Finance and Economics Huiping Zhang , Business, IT & Science, James Cook University Singapore NTU Management Review Vol. 29 No. 1 Apr. 2019, 1-24