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Market Illiquidity and Conditional Equity Premium

Author

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  • Hui Guo
  • Sandra Mortal
  • Robert Savickas
  • Robert Wood

Abstract

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Suggested Citation

  • Hui Guo & Sandra Mortal & Robert Savickas & Robert Wood, 2017. "Market Illiquidity and Conditional Equity Premium," Financial Management, Financial Management Association International, vol. 46(3), pages 743-766, September.
    • Handle: RePEc:bla:finmgt:v:46:y:2017:i:3:p:743-766
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    File URL: http://hdl.handle.net/10.1111/fima.2017.46.issue-3
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    Cited by:

    1. Chia-Cheng Chen & Chia-Li Tai & Yi-Chun Cho, 2019. "Market Illiquidity Premium on Stock Returns: An Empirical Study of Taiwan Stock Markets," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 9(7), pages 778-788, July.
    2. Qingjing Zhang & Taufiq Choudhry & Jing-Ming Kuo & Xiaoquan Liu, 2021. "Does liquidity drive stock market returns? The role of investor risk aversion," Review of Quantitative Finance and Accounting, Springer, vol. 57(3), pages 929-958, October.
    3. Chiu, Junmao & Chung, Huimin, 2019. "Legal institutions and fragile financial markets," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 277-298.
    4. Xing Han & Zheyao Pan, 2021. "Correlation and the omitted variable: A tale of two prices," Financial Management, Financial Management Association International, vol. 50(2), pages 519-552, June.
    5. Hsieh, Hui-Ching & Nguyen, Van Quoc Thinh, 2021. "Economic policy uncertainty and illiquidity return premium," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).

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