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http://hdl.handle.net/10419/43207
  

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dc.contributor.authorBen-Rephael, Azien_US
dc.contributor.authorKadan, Ohaden_US
dc.contributor.authorWohl, Avien_US
dc.date.accessioned2009-08-06en_US
dc.date.accessioned2010-12-15T09:21:44Z-
dc.date.available2010-12-15T09:21:44Z-
dc.date.issued2008en_US
dc.identifier.piurn:nbn:de:hebis:30-62317-
dc.identifier.urihttp://hdl.handle.net/10419/43207-
dc.description.abstractPrevious evidence suggests that less liquid stocks entail higher average returns. Using NYSE data, we present evidence that both the sensitivity of returns to liquidity and liquidity premia have significantly declined over the past four decades to levels that we cannot statistically distinguish from zero. Furthermore, the profitability of trading strategies based on buying illiquid stocks and selling illiquid stocks has declined over the past four decades, rendering such strategies virtually unprofitable. Our results are robust to several conventional liquidity measures related to volume. When using liquidity measure that is not related to volume, we find just weak evidence of a liquidity premium even in the early periods of our sample. The gradual introduction and proliferation of index funds and exchange traded funds is a possible explanation for these results.en_US
dc.language.isoengen_US
dc.publisherCenter for Financial Studies Frankfurt, Mainen_US
dc.relation.ispartofseriesCFS Working Paper 2008/52en_US
dc.subject.jelG12en_US
dc.subject.jelG14en_US
dc.subject.ddc330en_US
dc.subject.keywordLiquidityen_US
dc.subject.keywordIlliquidityen_US
dc.subject.keywordLiquidity Premiumen_US
dc.subject.keywordStock Returnsen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwMarktliquiditäten_US
dc.subject.stwUSAen_US
dc.titleThe diminishing liquidity premiumen_US
dc.typeWorking Paperen_US
dc.identifier.ppn606205764en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfswop:200852-
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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