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The role of an illiquidity risk factor in asset pricing: Empirical evidence from the Spanish stock market

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  • Marcelo, Jose Luis Miralles
  • Quiros, Maria del Mar Miralles

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  • Marcelo, Jose Luis Miralles & Quiros, Maria del Mar Miralles, 2006. "The role of an illiquidity risk factor in asset pricing: Empirical evidence from the Spanish stock market," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(2), pages 254-267, May.
    • Handle: RePEc:eee:quaeco:v:46:y:2006:i:2:p:254-267
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    References listed on IDEAS

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    4. Brennan, Michael J. & Subrahmanyam, Avanidhar, 1996. "Market microstructure and asset pricing: On the compensation for illiquidity in stock returns," Journal of Financial Economics, Elsevier, vol. 41(3), pages 441-464, July.
    5. Chordia, Tarun & Subrahmanyam, Avanidhar & Anshuman, V. Ravi, 2001. "Trading activity and expected stock returns," Journal of Financial Economics, Elsevier, vol. 59(1), pages 3-32, January.
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    7. Rubio, Gonzalo, 1995. "Further Evidence on Performance Evaluation: Portfolio Holdings, Recommendations, and Turnover Costs," Review of Quantitative Finance and Accounting, Springer, vol. 5(2), pages 127-153, June.
    8. Belén Nieto & Rosa Rodríguez & Rosa Rodríguez- Barrera, 2002. "The Consumption-Wealth And Book-To-Market Ratios In A Dynamic Asset Pricing Context," Working Papers. Serie EC 2002-24, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    9. Lo, Andrew W & MacKinlay, A Craig, 1990. "Data-Snooping Biases in Tests of Financial Asset Pricing Models," The Review of Financial Studies, Society for Financial Studies, vol. 3(3), pages 431-467.
    10. Grinblatt, Mark & Titman, Sheridan, 1987. "The Relation between Mean-Variance Efficiency and Arbitrage Pricing," The Journal of Business, University of Chicago Press, vol. 60(1), pages 97-112, January.
    11. Pastor, Lubos & Stambaugh, Robert F., 2003. "Liquidity Risk and Expected Stock Returns," Journal of Political Economy, University of Chicago Press, vol. 111(3), pages 642-685, June.
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    14. Eleswarapu, Venkat R. & Reinganum, Marc R., 1993. "The seasonal behavior of the liquidity premium in asset pricing," Journal of Financial Economics, Elsevier, vol. 34(3), pages 373-386, December.
    15. K. Geert Rouwenhorst, 1999. "Local Return Factors and Turnover in Emerging Stock Markets," Journal of Finance, American Finance Association, vol. 54(4), pages 1439-1464, August.
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    20. Howard W. Chan & Robert W. Faff, 2005. "Asset Pricing and the Illiquidity Premium," The Financial Review, Eastern Finance Association, vol. 40(4), pages 429-458, November.
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    23. Datar, Vinay T. & Y. Naik, Narayan & Radcliffe, Robert, 1998. "Liquidity and stock returns: An alternative test," Journal of Financial Markets, Elsevier, vol. 1(2), pages 203-219, August.
    24. MacKinlay, A Craig & Richardson, Matthew P, 1991. "Using Generalized Method of Moments to Test Mean-Variance Efficiency," Journal of Finance, American Finance Association, vol. 46(2), pages 511-527, June.
    25. Gonzalo Rubio & Mikel Tapia, 1996. "Adverse selection, volume and transactions around dividend announcements in a continuous auction system," European Financial Management, European Financial Management Association, vol. 2(1), pages 39-67, March.
    26. Rubio, Gonzalo, 1988. "Further international evidence on asset pricing : The case of the Spanish capital market," Journal of Banking & Finance, Elsevier, vol. 12(2), pages 221-242, June.
    27. Brennan, Michael J. & Chordia, Tarun & Subrahmanyam, Avanidhar, 1998. "Alternative factor specifications, security characteristics, and the cross-section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 49(3), pages 345-373, September.
    28. Martinez, Miguel A. & Nieto, Belen & Rubio, Gonzalo & Tapia, Mikel, 2005. "Asset pricing and systematic liquidity risk: An empirical investigation of the Spanish stock market," International Review of Economics & Finance, Elsevier, vol. 14(1), pages 81-103.
    29. Black, Fischer, 1972. "Capital Market Equilibrium with Restricted Borrowing," The Journal of Business, University of Chicago Press, vol. 45(3), pages 444-455, July.
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    Cited by:

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    2. P. Krishna Prasanna & Anish S. Menon, 2012. "Corporate governance and stock market liquidity in India," International Journal of Behavioural Accounting and Finance, Inderscience Enterprises Ltd, vol. 3(1/2), pages 24-45.
    3. Hamid Reza Vakilifard & Forough Heirany, 2013. "A Comparative Evaluation of the Predictability of Fama-French Three-Factor Model and Chen Model in Explaining the Stock Returns of Tehran Stock Exchange," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 3(3), pages 118-124, July.
    4. Lischewski, Judith & Voronkova, Svitlana, 2012. "Size, value and liquidity. Do They Really Matter on an Emerging Stock Market?," Emerging Markets Review, Elsevier, vol. 13(1), pages 8-25.
    5. Panayides, Photis M. & Lambertides, Neophytos & Cullinane, Kevin, 2013. "Liquidity risk premium and asset pricing in US water transportation," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 52(C), pages 3-15.

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