Liquidity and asset prices: An empirical investigation from the Nordic stock markets

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http://hdl.handle.net/10138/144307

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Butt , H & Virk , N S 2014 , ' Liquidity and asset prices: An empirical investigation from the Nordic stock markets ' European Financial Management . https://doi.org/10.1111/EUFM.12041

Title: Liquidity and asset prices: An empirical investigation from the Nordic stock markets
Author: Butt, Hilal; Virk, Nader Shahzad
Contributor: Hanken School of Economics, Finance, Vaasa
Hanken School of Economics, Finance, Vaasa
Belongs to series: European Financial Management
ISSN: 1354-7798
Abstract: This paper presents a simplified single period asset-pricing model adjusted for liquidity and tests it for the Nordic markets. The detailed empirical evidence is presented from Finnish test case. Empirical testing of small yet developed markets is motivated by the increased relevance of the illiquidity effect for illiquid assets/markets. The main evidence reports liquidity risk makes sufficiently larger part of predicted factor risk premium than the market risk, contrary to comparable US evidence. This highlights the ability of liquidity related model betas in capturing the time variation in expected returns across illiquid (Nordic) markets than market beta.
URI: http://hdl.handle.net/10138/144307
Date: 2014-03-02
Subject: 512 Business and Management
Asset-pricing model
illiquidity effect
predicted factor risk premium
model betas
KOTA2014
KOTA2014
PREM2014
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