Advanced search
Publication Cover
Applied Economics Letters Volume 25, 2018 - Issue 3
Submit an article Journal homepage
277
Views
6
CrossRef citations to date
0
Altmetric
Article

A novel measure of liquidity premium: application to the Korean stock market

Seok-Kyun HurSchool of Business Administration, Chung-Ang University, Seoul, Korea
&
Chune Young ChungSchool of Business Administration, Chung-Ang University, Seoul, KoreaCorrespondence[email protected]
Pages 211-215 | Published online: 04 May 2017

References

  • Acharya, V. V., and L. H. Pedersen. 2005. “Asset Pricing with Liquidity Risk.” Journal of Financial Economics 77 (2): 375–410. doi:10.1016/j.jfineco.2004.06.007.
  • Amihud, Y. 2002. “Illiquidity and Stock Returns: Cross-Section and Time-Series Effects.” Journal of Financial Markets 5 (1): 31–56. doi:10.1016/S1386-4181(01)00024-6.
  • Amihud, Y., and H. Mendelson. 1980. “Dealership Market: Market-Making with Inventory.” Journal of Financial Economics 8 (1): 31–53. doi:10.1016/0304-405X(80)90020-3.
  • Bekaert, G., C. R. Harvey, and C. Lundblad. 2007. “Liquidity and Expected Returns: Lessons from Emerging Markets.” Review of Financial Studies 20 (6): 1783–1831. doi:10.1093/rfs/hhm030.
  • Brennan, M., S. W. Huh, and A. Subrahmanyam. 2013. “An Analysis of the Amihud Illiquidity Premium.” Review of Asset Pricing Studies 3 (1): 133–176. doi:10.1093/rapstu/ras017.
  • Chordia, T., A. Goyal, G. Sadka, R. Sadka, and L. Shivakumar. 2009. “Liquidity and the Post-Earnings-Announcement Drift.” Financial Analyst Journal 65 (4): 18–32. doi:10.2469/faj.v65.n4.3.
  • Easley, D., and M. O’Hara. 1987. “Price, Trade Size, and Information in Securities Markets.” Journal of Financial Economics 19 (1): 69–90. doi:10.1016/0304-405X(87)90029-8.
  • Fama, E. F., and J. D. MacBeth. 1973. “Risk, Return, and Equilibrium: Empirical Tests.” Journal of Political Economy 81: 607–636. doi:10.1086/260061.
  • Glosten, L. R., and P. R. Milgrom. 1985. “Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders.” Journal of Financial Economics 14 (1): 71–100. doi:10.1016/0304-405X(85)90044-3.
  • Guvenen, F. 2009. “A Parsimonious Macroeconomic Model for Asset Pricing.” Econometrica 77 (6): 1711–1750. doi:10.3982/ECTA6658.
  • Hur, S. K., and C. Y. Chung. 2017. “Revisiting CAPM Betas in an Incomplete Market: Evidence from the Korean Stock Market.” Finance Research Letters 21(2): 241-248.
  • Karatzas, I., and S. Shreve. 1991. Brownian Motion and Stochastic Calculus. second ed. Springer.
  • Keim, D. B., and A. Madhavan. 1996. “The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects.” Review of Financial Studies 9 (1): 1–36. doi:10.1093/rfs/9.1.1.
  • Korajczyk, R. A., and R. Sadka. 2008. “Pricing the Commonality across Alternative Measures of Liquidity.” Journal of Financial Economics 87 (1): 45–72. doi:10.1016/j.jfineco.2006.12.003.
  • Kyle, A. S. 1985. “Continuous Auctions and Insider Trading.” Econometrica 53: 1315–1335. doi:10.2307/1913210.
  • Mankiw, N. G., and S. P. Zeldes. 1991. “The Consumption of Stockholders and Nonstockholders.” Journal of Financial Economics 29 (1): 97–112. doi:10.1016/0304-405X(91)90015-C.
  • Mehra, R., and E. C. Prescott. 1985. “The Equity Premium: A Puzzle.” Journal of Monetary Economics 15 (2): 145–161. doi:10.1016/0304-3932(85)90061-3.
  • Shreve, S. E., & Karatzas, I. (1991). Brownian motion and stochastic calculus. Newyork Berlin. Heidelberg. London Paris Tokyo.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.