Systematic Liquidity Risk and Asset Pricing: Evidence from London Stock Exchange

2009 ◽  
Author(s):  
Khelifa Mazouz ◽  
Dima W. H. Alrabadi ◽  
Mark C. Freeman
Keyword(s):  
Asset Pricing ◽  
Stock Exchange ◽  
Liquidity Risk ◽  
London Stock Exchange

Systematic liquidity risk and asset pricing: evidence from London Stock Exchange

2010 ◽  
Vol 2 (4) ◽  
pp. 387 ◽  
Author(s):  
Khelifa Mazouz ◽  
Dima W.H. Alrabadi ◽  
Mark Freeman ◽  
Shuxing Yin
Keyword(s):  
Asset Pricing ◽  
Stock Exchange ◽  
Liquidity Risk ◽  
London Stock Exchange

Liquidity Risk And Asset Pricing :, Evidence From Amman Stock Exchange

2017 ◽  
pp. 129
Author(s):  
محمد أحمد بني هاني ◽  
منى ممدوح المولا
Keyword(s):  
Asset Pricing ◽  
Stock Exchange ◽  
Liquidity Risk ◽  
Amman Stock Exchange

Higher co-moments and asset pricing on London Stock Exchange

2012 ◽  
Vol 36 (3) ◽  
pp. 913-922 ◽  
Author(s):  
Alexandros Kostakis ◽  
Kashif Muhammad ◽  
Antonios Siganos
Keyword(s):  
Asset Pricing ◽  
Stock Exchange ◽  
London Stock Exchange

scholarly journals Liquidity Risk and Asset Pricing in Pakistan Stock Exchange

2021 ◽  
Vol 19 (1) ◽  
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Stock Exchange ◽  
Risk Measures ◽  
Liquidity Risk ◽  
Excess Returns ◽  
Market Conditions ◽  
Bear Market ◽  
Market Trends ◽  
The Impact

This paper empirically investigates the impact of liquidity risk on stock returns in Pakistan and determines investors' attitude under bull and bear market conditions. Specifically, the liquidity adjusted capital asset pricing model(CAPM) is modified by including the interaction between the liquidity risk and the indicators of bull- and bear-market periods to investigate whether the pricing of liquidity risk differs in both upward and downward market trends. The analysis is carried out for a large panel of Pakistani manufacturing firms listed at the Pakistan Stock Exchange for the period January 2000 – December 2015. We use alternative liquidity risk measures to check the robustness of the liquidity risk effect. We observe that higher liquidity risk yields higher excess stock returns, implying pricing of liquidity risk during the examined period. The results also reveal that the liquidity risk is positively and significantly related to excess returns in the high-liquidity-risk beta portfolios, whereas it is negatively or insignificantly related to excess returns of low-liquidity-risk beta portfolios. The results also provide evidence that stocks affected by liquidity risk yield positive expected returns in both bull and bear market conditions. However, we find significant differences in the pricing of liquidity risk under upward and downward market trends. The robustness check confirms that the findings on the pricing of liquidity risk are not driven by any specific measure of liquidity.

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