Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/202663 
Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
Birmingham Business School Discussion Paper Series No. 2015-02
Verlag: 
University of Birmingham, Birmingham Business School, Birmingham
Zusammenfassung: 
This paper investigates whether investors are compensated for taking on commonality risk in equity portfolios. A large literature documents the existence and the causes of commonality in illiquidity, but the implications for investors are less well understood. In a more than fifty year long sample of NYSE stocks, we find that commonality risk carries a return premium of around 2.6 per cent annually. The commonality risk premium is statistically and economically significant, and substantially higher than what is found in previous studies. It is robust when controlling for illiquidity level effects, different investment horizons, as well as variations in illiquidity measurement and systematic illiquidity estimation.
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