Amihud, Y., Hameed, A., Kang, W., and Zhang, H. 2019. The Illiquidity Premium: Further Evidence from Global and Asia-Pacific Markets. NTU Management Review, 29 (1): 1-24. https://doi.org/10.6226/NTUMR.2018.Speech
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
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
illiquidityilliquidity premiuminternational stock markets