Liquidity and asset prices: An empirical investigation from the Nordic stock markets

Hilal Butt, Nader Shahzad Virk

Forskningsoutput: TidskriftsbidragArtikelVetenskapligPeer review

12 Citeringar (Scopus)

Sammanfattning

This paper presents a simplified single period asset-pricing model adjusted for liquidity and tests it for the Nordic markets. The detailed empirical evidence is presented from Finnish test case. Empirical testing of small yet developed markets is motivated by the increased relevance of the illiquidity effect for illiquid assets/markets. The main evidence reports liquidity risk makes sufficiently larger part of predicted factor risk premium than the market risk, contrary to comparable US evidence. This highlights the ability of liquidity related model betas in capturing the time variation in expected returns across illiquid (Nordic) markets than market beta.
OriginalspråkEngelska
ArtikelnummerEUFM.12041
Referentgranskad vetenskaplig tidskriftEuropean Financial Management
Antal sidor34
ISSN1354-7798
DOI
StatusPublicerad - 02.03.2014
MoE-publikationstypA1 Originalartikel i en vetenskaplig tidskrift

Nyckelord

  • 512 Företagsekonomi
  • KOTA2014

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