文章基本信息

标题：Illusory Nature of Pricing of Illiquidity Risk: The Test Case of Australian Stock Market
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作者：Hilal Anwar Butt ; Ihsan Ullah Badshah ; Muhammad Tahir Suleman 等
期刊名称：Journal of Finance & Economics Research
印刷版ISSN：2415-2463
电子版ISSN：2415-2455
出版年度：2017
卷号：2
期号：2
页码：112-126
DOI：10.20547/jfer1702202
出版社：Geist Science
摘要：Positive illiquidity premium is documented to be linked with the illiquidity effect across global markets. This evidence is generally suggested through some asset pricing model, such as Acharya and Pedersen (2005) or others. Our study shows that the success of any such model in terms of magnitude of predicted risk premium is linked with measure of illiquidity used in the study. The main implication of this evidence is that the variety of illiquidity related risk premiums can be reported for the same market, or for the number of markets. To elaborate this point, the test case of Australian stock market is taken and likely strategy to determine the maximum illiquidity premium is proposed.
关键词：Asset pricing; Australian stock market; illiquidity premium; illiquidity measures.