Asset Pricing and Market Liquidity

2015 ◽  
Keyword(s):  
Asset Pricing ◽  
Market Liquidity

scholarly journals An estimation of cost-based market liquidity from daily high, low and close prices

2020 ◽  
Vol 6 (2) ◽  
pp. 1-11
Author(s):  
J. Saleemi
Keyword(s):  
Asset Pricing ◽  
Low Frequency ◽  
Market Liquidity ◽  
Frequency Spread ◽  
Bid Ask Spread ◽  
Proposed Model ◽  
Spread Model ◽  
Computationally Intensive ◽  
The Cost ◽  
Entire Dataset

In the literature of asset pricing, this paper introduces a new method to estimate the cost-based market liquidity (CBML), that is, the bid-ask spread. The proposed model of spread proxy positively correlates with the examined low-frequency spread proxies for a larger dataset. The introduced approach provides potential implications in important aspects. Unlike in the Roll bid-ask spread model and the CHL bid-ask estimator, the CBML model consistently estimates market liquidity and trading cost for the entire dataset. Additionally, the CBML estimator steadily measures positive spreads, unlike in the CS bid-ask spread model. The construction of the proposed approach is not computationally intensive and can be considered for distinct studies at both market and firm levels.

scholarly journals Closer View at the Stock Market Liquidity: A Literature Review

2015 ◽  
Vol 7 (2) ◽  
pp. 35 ◽  
Author(s):  
Gaurav Kumar ◽  
Arun Kumar Misra
Keyword(s):  
Asset Pricing ◽  
Capital Structure ◽  
Corporate Finance ◽  
Liquidity Risk ◽  
Firm Valuation ◽  
Market Liquidity ◽  
Stock Exchanges ◽  
Huge Amount ◽  
Listed Firms ◽  
The Impact

<p>Liquidity is said to be the lifeblood of stock markets. It has prominent implications for traders, regulators, stock exchanges and the listed firms. In recent years a huge amount of literature has emerged that deals with liquidity. This article classifies and organises the literature and provides a critical review of the frameworks currently available for modelling liquidity and its macroeconomic and firm specific drivers. Commonality and intraday behaviour of liquidity in various markets is discussed under the umbrella of market microstructures.  Subsequently, liquidity risk as a factor in Asset pricing is analysed taking various models in to consideration. Finally, the study reviewed the impact of liquidity on corporate finance decisions viz. dividends, firm valuation, stock split, capital structure etc.</p>

Market Liquidity: Asset Pricing, Risk, and Crises

2013 ◽  
Vol 14 (2) ◽  
pp. 211-212
Author(s):  
Robert Korajczyk
Keyword(s):  
Asset Pricing ◽  
Market Liquidity ◽  
Pricing Risk

scholarly journals PERAN LIKUIDITAS DALAM ASSET PRICING DI BURSA EFEK INDONESIA

2021 ◽  
Vol 15 (1) ◽  
pp. 41-56
Author(s):  
Catherine Dwiputri ◽  
Vina Christina Nugroho
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Systematic Risk ◽  
Negative Influence ◽  
Market Liquidity ◽  
Analysis Method ◽  
The Past

Purpose of this study is to obtain empirical evidence about the role of liquidity in asset pricing in the Indonesian stock market. This study compares the role of liquidity as a characteristic of stocks and liquidity as a source of systematic risk. This study uses a total of 280 sample companies listed on the Indonesia Stock Exchange during the period 2006 - 2016. In measuring liquidity, this study uses the proportion of zero returns and because liquidity predicts future returns and also moves according to the past. For this reason it is necessary to have innovations to avoid stationarity issues because of the high persistence in liquidity so we use ARMA structure in the portfolio as data analysis method. Data processing was performed using the Fama-Macbeth (1973) model. The results of this study prove that market liquidity has a negative influence on stock returns on the Indonesian market. Thus, the role of liquidity as a systematic risk has an effect on asset pricing on the Indonesian stock market.

The asset pricing effects of UK market liquidity shocks: Evidence from tick data

2014 ◽  
Vol 32 ◽  
pp. 85-94 ◽  
Author(s):  
Jason Foran ◽  
Mark C. Hutchinson ◽  
Niall O'Sullivan
Keyword(s):  
Asset Pricing ◽  
Market Liquidity ◽  
Liquidity Shocks ◽  
Tick Data

Asset Pricing and Market Liquidity

2015 ◽  
pp. 75-113
Author(s):  
Andria van der Merwe
Keyword(s):  
Asset Pricing ◽  
Market Liquidity

scholarly journals Liquidity Risks and Asset Pricing: Evidence from Developed and Emerging Markets

2020 ◽  
Vol 18 (2) ◽  
pp. 65-86
Author(s):  
Sadia Saeed ◽  
◽  
Saif ul Mujahid Shah ◽  
Saadullah Shah
Keyword(s):  
Asset Pricing ◽  
Emerging Markets ◽  
Stock Returns ◽  
Autoregressive Process ◽  
Market Liquidity ◽  
Data Series ◽  
Capital Asset Pricing ◽  
Asset Pricing Model ◽  
Study Support ◽  
Excess Stock Returns

The study examines the liquidity adjusted capital asset pricing model in developed and emerging markets. Amihud measure is used to compute market liquidity. Innovations in Amihud ratio are generated through the autoregressive process to avoid autocorrelation in illiquidity data series. Decile portfolios based on illiquidity cost are formulated for each stock market. Liquidity adjusted betas are calculated at the portfolio level and then stocks as test assets have been used in the regression stage. Panel regression with fixed effect has been employed on LCAPM specifications for explaining the excess stock returns of developed and emerging markets during a period July 2005- June 2017. The findings of the study support that individual and aggregate liquidity risk price in stock markets except for Pakistan. The results of the study suggest that investors institutional or individual should consider liquidity risks for assessing the worth of assets.

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