Illiquidity and Stock Returns: A Revisit

Amihud, Yakov

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Illiquidity and Stock Returns: A Revisit

Critical Finance Review, Forthcoming

24 Pages Posted: 3 Oct 2018

See all articles by Yakov Amihud

Yakov Amihud

New York University - Stern School of Business

Date Written: July 30, 2018

Abstract

This paper explains and extends my 2002 paper. It presents a return factor of illiquid-minus-liquid stocks, called IML, which provides a time series of the illiquidity premium. The risk-adjusted predicted return on IML is lower in the period that follows my 2002 paper but it is still significant. IML also has the predicted response to market illiquidity shocks.

Keywords: Liquidity Pricing

JEL Classification: G10, G12

Suggested Citation: Suggested Citation

Amihud, Yakov, Illiquidity and Stock Returns: A Revisit (July 30, 2018). Critical Finance Review, Forthcoming , Available at SSRN: https://ssrn.com/abstract=3257038