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

  title={Illiquidity and Stock Returns: Cross-Section and Time-Series Effects},
  author={Y. Amihud},
  journal={Journal of Financial Markets},
  • 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
    4,841 Citations
    Liquidity and Stock Returns: Evidence from International Markets
    • 25
    • Highly Influenced
    • PDF
    The Illiquidity Premium: International Evidence
    • 175
    • PDF
    The cross-section of stock returns in an early stock market
    • 6
    • PDF
    Illiquidity and Stock Returns: A Revisit
    • 10
    • PDF
    Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns
    • 12
    • Highly Influenced
    • PDF
    Consumption, liquidity and the cross-sectional variation of expected returns
    • 3
    • PDF
    Illiquidity and Stock Returns
    • 96


    Trading activity and expected stock returns
    • 756
    Market microstructure and asset pricing: On the compensation for illiquidity in stock returns
    • 1,156
    • Highly Influential
    • PDF
    Expected stock returns and volatility
    • 3,803
    • PDF
    Local Return Factors and Turnover in Emerging Stock Markets
    • 870
    • PDF
    Commonality in the Determinants of Expected Stock Returns
    • 838
    Stock Returns, Expected Returns, and Real Activity
    • 1,422
    The Cross‐Section of Expected Stock Returns
    • 7,243
    • PDF