Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/43207 
Full metadata record
DC FieldValueLanguage
dc.contributor.authorBen-Rephael, Azien
dc.contributor.authorKadan, Ohaden
dc.contributor.authorWohl, Avien
dc.date.accessioned2009-08-06-
dc.date.accessioned2010-12-15T09:21:44Z-
dc.date.available2010-12-15T09:21:44Z-
dc.date.issued2008-
dc.identifier.piurn:nbn:de:hebis:30-62317en
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
dc.language.isoengen
dc.publisher|aGoethe University Frankfurt, Center for Financial Studies (CFS) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCFS Working Paper |x2008/52en
dc.subject.jelG12en
dc.subject.jelG14en
dc.subject.ddc330en
dc.subject.keywordLiquidityen
dc.subject.keywordIlliquidityen
dc.subject.keywordLiquidity Premiumen
dc.subject.keywordStock Returnsen
dc.subject.stwBörsenkursen
dc.subject.stwKapitalertragen
dc.subject.stwMarktliquiditäten
dc.subject.stwUSAen
dc.titleThe diminishing liquidity premium-
dc.typeWorking Paperen
dc.identifier.ppn606205764en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfswop:200852en

Files in This Item:
File
Size
275.39 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.