Theory-Based Illiquidity and Asset Pricing

摘要：

Many proxies of illiquidity have been used in the literature that relates illiquidity to asset prices. These proxies have been motivated from an empirical standpoint. In this study, we approach liquidity estimation from a theoretical perspective. Our method explicitly recognizes the analytic dependence of illiquidity on more primitive drivers such as trading activity and information asymmetry. More specifically, we estimate illiquidity using structural formulae in line with Kyles (1985) lambda for a comprehensive sample of stocks. The empirical results provide convincing evidence that theory-based estimates of illiquidity are priced in the cross-section of expected stock returns, even after accounting for risk factors, firm characteristics known to influence returns, and other illiquidity proxies prevalent in the literature.

作者: Tarun Chordia Sahn-Wook Huh Avanidhar Subrahmanyam

作者单位: Goizueta Business School,Emory University,Atlanta,GA 30327 Faculty of Business,Brock University,St.Catharines,Ontario,Canada L2S 3A1 The Anderson School,110 Westwood Plaza,University of California at Los Angeles,Los Angeles,CA 90095-

会议类型: 国际会议

会议名称: 2008年中国金融国际年会

会议地点: 大连

会议语种:英文

页码: 1-62

在线出版日期: 2008-07-02（万方平台首次上网日期，不代表论文的发表时间）