About this document
Illiquidity Premium in Global Markets by Carlos Ignacio Cid is a document available to read on EtoBox.
This document summarizes a study examining the illiquidity premium in stock markets across 45 countries. The study finds: 1) The average illiquidity return premium across countries, as measured by monthly returns on illiquid-minus-liquid stock portfolios, is positive and significant after controlling for other factors. 2) There is commonality across countries in the illiquidity return premium, even after controlling for common global factors and variation in global illiquidity. This commonality is greate
- Author
- Carlos Ignacio Cid
- Language
- EN