Illiquidity and Stock Returns: Cross-Section and Time-Series Effects

@article{Amihud2002IlliquidityAS,
  title={Illiquidity and Stock Returns: Cross-Section and Time-Series Effects},
  author={Y. Amihud},
  journal={Journal of Financial Markets},
  year={2002},
  volume={5},
  pages={31-56}
}
  • Y. Amihud
  • Published 2002
  • Economics
  • Journal of Financial Markets
  • This paper shows that over time, expected market illiquidity positively affects ex ante stock excess return, suggesting that expected stock excess return partly represents an illiquidity premium. This complements the cross-sectional positive return–illiquidity relationship. Also, stock returns are negatively related over time to contemporaneous unexpected illiquidity. The illiquidity measure here is the average across stocks of the daily ratio of absolute stock return to dollar volume, which is… CONTINUE READING
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