Stock Liquidity Premium and Its Interaction with Other Factor Returns
December 23, 2014 - Equity Premium
How big is the stock liquidity premium and does it subsume other variables widely used to estimate future returns? In their December 2014 paper entitled “A Comparative Analysis of Liquidity Measures”, Yuping Huang and Vasilios Sogiakas investigate the relationships of excess (relative to the risk-free rate) stock returns to three pairs of monthly liquidity metrics: Transaction cost: (1)… Keep Reading