The liquidity-augmented CAPM over 1926 to 1963
This paper examines the two-factor model of Liu (2006) using the recent CRSP compilation of daily trading volume data between 1926 and 1962. I find that the liquidity premium is as strong for the early period as for the post 1963-period, and it is the most significant and persistent premium compared with those associated with size, book-to-market, turnover, return-to-volume ratio, and past return. The twofactor model performs well in explaining the cross-section of stock returns. The evidence suggests that the original results of Liu are robust to the earlier period. In addition, liquidity as a firm characteristic lacks significant predictive power beyond liquidity risk.
Trading continuity liquidity risk liquidity premium
Weimin Liu
Nottingham University Business School (NUBS),The University of Nottingham,Nottingham NG8 1BB,UK
国际会议
大连
英文
1-41
2008-07-02（万方平台首次上网日期，不代表论文的发表时间）