Journal article
Liquidity and stock returns: Evidence from international markets
Global finance journal, v 27, pp 73-97
Jul 2015
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This paper tests the relation between expected excess stock returns and illiquidity risk in G7 markets. By conducting panel regressions on monthly data for 20years, evidence shows that excess stock returns of the G7 countries are positively correlated with market illiquidity risk, but are negatively correlated with the innovation of firm-level illiquidity. Applying the model to the portfolio analysis, the evidence shows that the market-level illiquidity risk has a more profound effect on excess stock returns for large stocks, growth stocks, more liquid stocks, lower idiosyncratic risk stocks, and lower skewness stocks. However, the innovation from firm-level illiquidity has a stronger effect on small stocks, value stocks, more illiquid stocks, higher idiosyncratic risk stocks, lower skewness stocks, and lower kurtosis stocks.
Metrics
Details
- Title
- Liquidity and stock returns: Evidence from international markets
- Creators
- Thomas C. Chiang - Drexel UniversityDazhi Zheng - West Chester University
- Publication Details
- Global finance journal, v 27, pp 73-97
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- [Retired Faculty]
- Web of Science ID
- WOS:000376041800004
- Scopus ID
- 2-s2.0-84942191144
- Other Identifier
- 991019167433204721
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- Collaboration types
- Domestic collaboration
- Web of Science research areas
- Business, Finance