Earticle

초록

영어

Recent theories of state-dependent variations in market liquidity suggest strong variations in expected illiquidity premium across economic states. Adopting a two-state Markov switching model, we find that while illiquid stocks are more strongly affected by economic conditions than liquid ones during recessions, the differences in expected returns are relatively weak during expansions. As a result, the expected illiquidity premium displays strong state-dependent variations, and its countercyclical pattern is consistent with theoretical argument based on timevarying liquidity risk premium. Overall, our results provide a strong relation between the expected illiquidity premium and the real business cycle.

목차

Abstract
 1 Introduction
 2 Empirical Methodology
  2.1 Model specification
  2.2 Data and variables
 3 Empirical Results
  3.1 Estimation results on the univariate Markov switching model
  3.2 Estimation results on the bivariate Markov switching model
  3.3 The expected illiquidity premium across states
  3.4 Variations in conditional volatilities and Sharpe ratios
  3.5 Robustness tests
 4 Conclusion
 References
 Table
 Figure

키워드

저자

• Jeewon Jang [ College of Business, Korea Advanced Institute of Science and Technology (KAIST), Seoul, Korea, ]
• Jangkoo Kang [ Graduate School of Finance & Accounting, College of Business, Korea Advanced Institute of Science and Technology (KAIST), Seoul, Korea ]
• Changjun Lee [ College of Business Administration, Hankuk University of Foreign Studies ] Corresponding author

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간행물

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• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330