The liquidity premium: Evidence from the Polish stock market

Cristina Ganja



[1] Acharya, V., Pedersen, L. (2005). Asset pricing with liquidity risk, Journal of Financial Economics, vol. 77, no. 2, 375-410.

[2] Ali, S., Liu, B., Su, J.J. (2017). Corporate governance and stock liquidity dimensions: Panel evidence from pure order-driven Australian market, International Review of Economics and Finance, 50, 275-304.

[3] Amihud, Y., & Mendelson, H. (1986). Asset pricing and the bid-ask spread. Journal of Financial Economics, 17 (2) , 223–249.

[4] Amihud, Y. (2002). Illiquidity and stock returns: Cross-section and time-series effects, Journal of Financial Markets, 5 (1), 31–56.

[5] Amihud, Y., Hammed, A., Kang, W., Zhang, H. (2015). The illiquidity premium: International evidence, Journal of Financial Econometrics, 117, 350-368.

[6] Asparouhove, E., Bessembinder, H., Kalcheva, I. (2010). Liquidity biases în asset pricing tests, Journal of Financial Economics, 96, 215-237.

[7] Assefa, T. A., Mollick, A. V., (2014). African stock market returns and liquidity premia, Journal of International Financial Markets, Institutions & Money, 32, 325-342.

[8] Breeden, D., (1979). An intertemporal asset pricing model with stochastic consumption and investment opportunities. Journal of Financial Economics, 7, 265–296.

[9] Brennan, M. J., Wang, A. W. (2010). The mispricing return premium, The Review of Financial Studies, vol. 23, no. 9, 3437-3468.

[10] Carhart, M. M. (1997). On persistence in mutual fund performance. Journal of Finance, 52 (1), 57–82.

[11] Chen, J., Sherif, M., (2016). Illiquidity premium and expected stock returns in the UK: A new approach, Physica A, 458, 52-66.

[12] Corwin, S. A., Schultz, P. (2012). A simple way to estimate bid-ask spread from daily high and low prices, The Journal af Finance, vol. LXVII, no. 2, 719-759.

[13] French, K. R., Roll, R. (1986). Stock return variances: The arrival of information and the reaction of traders, Journal of Financial Economics, vol. 17, no. 1, 5-26.

[14] Goyenko, R. Y., Holden, C. W., Trzcinka, C. A. (2009). Do liquidity measures measure liquidity? Journal of financial Economics. 92 (2), 153-181.

[15] Janssen, J., Manca, O., Manca, R., (2013), Applied Diffusion Processes from Engineering to Finance, John Wiley & Sonc, Inc., Hoboken, NJ (USA).

[16] Lazar, D. Econometrie financiara, Casa Car?ii de ?tiin?a, Cluj – Napoca, 2011.

[17] Liang, S. X., Wei, J. K. C., (2012). Liquidity risk and stock returns around the world, Journal of Banking & Finance, vol. 36, no. 12, 3274-3288.

[19] Lin, J., Singh, A. K., Sun, P., Yu, W. (2012). Price delay and liquidity risk, Journal of Financial Markets, 17, 150-173.

[20] Liu, W. (2006). A liquidity-augmented capital asset pricing model, Journal of Financial Economics, 82, 631-671.

[21] Miralles, J. L., Miralles, M. M., (2006). The role of an illiquidity risk factor in asset pricing: Empirical evidence from the Spanish stock market, The Quarterly Review of Economics and Finance, 46, 254-267.

[22] Todea, A. Investtii, Casa Cart?ii de Stiinta, Cluj – Napoca, 2008.

Copyright © 2009 | All rights reserved