Earticle

초록

영어

This paper analyzes the Amihud (2002) measure of illiquidity and its role in assetpricing. It is shown first that the effect of illiquidity on asset pricing is clarified by using the turnover version of the Amihud measure and including firm size as a separate variable. When we decompose the Amihud measure into elements that correspond to positive (up) and negative (down) return days, we find that in general, only the down-day element commands a return premium. Further analysis of the upand down-day elements using order flows shows that a sidedness variable, which captures the tendency for orders to cluster on the sell side on down days, is associated with a more significant return premium than the other components of the Amihud measure.

목차

Abstract
 I. Analyzing the Amihud (2002) Measure of Illiquidity
  A. Basic Analysis
  B. Further Analysis Based on Signed Volume and Turnover
 II. Data and Variable Construction
  A. The Amihud (2002) Measure and its Components
  B. Other Variables
 III. Estimation Procedure
 IV. Priced Components of the Amihud (2002) Measure
  A. The Amihud (2002) Measure
  B. Decomposing the Amihud (2002) Measure
  C. Further Analysis Using Signed Turnover
 V. Robustness Tests
  A. TAQ Period (1993-2009) Sample
  B. Corrections for Microstructure Biases: WLS Regressions
 VI. Conclusion
 References
 Table

키워드

저자

• Michael Brennan [ The Anderson School, University of California at Los Angeles, Los Angeles, CA 90095-1481; King ]
• Sahn-Wook Huh [ School of Management, State University of New York at Buffalo, Buffalo, NY 14260-4000. ]
• Avanidhar Subrahmanyam [ The Anderson School, University of California at Los Angeles, Los Angeles, CA 90095-1481. ] Corresponding Author

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• 간행물명

  한국재무학회 학술대회

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  2006~2024

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  KDC 325 DDC 330