The liquidity premium in equity pricing under a continuous auction system

European Journal of Finance

Volumn 4, Issue 1, 1998, Pages 1-28

  Rubio, Gonzalo ^a   Tapia, Mikel ^b  

^a UNIVERSITY OF THE BASQUE COUNTRY UPV EHU   (Spain)

^b UNIVERSIDAD CARLOS III DE MADRID   (Spain)

Author keywords

asset pricing; liquidity premium; market microstructure

Indexed keywords

EID: 0041191526     PISSN: 1351847X     EISSN: 14664364     Source Type: Journal    
DOI: 10.1080/13518479800000001     Document Type: Article

References (33)

1. Amihud, Y., and Mendelson, H., 1986. Asset pricing and the bid-ask spread. Journal of Financial Economics, 17: 223-249.
2. Amihud, Y., and Mendelson, H., 1989. The effects of beta, bid-ask spread, residual risk, and size on stock returns. Journal of Finance, 44: 479
3. Basarrate, B., and Rubio, G., 1990. A note on the seasonality in the risk-return relationship. Investigaciones Económicas, 14: 311-318.
4. Basarrate, B., and Rubio, G., 1994. La Imposición Sobre Plusvalías y Minusvalías: Sus Efectos Sobre el Comportamiento Estacional del Mercado de Valores. Revista Española de Economía, 11: 247-277.
5. Biais, B., Hillion, P., and Spatt, C., 1995. An empirical analysis of the limit order book and the order flow in the Paris Bourse. Journal of Finance, 50: 1655-1689.
6. Brennan, M. and A. Subrahmanyam (1994) Market microstructure and asset pricing: on the compensation for adverse selection in stock returns. Finance Working Paper, Graduate School of Management, University of California, Los Angeles.
7. Brennan, M., and Subrahmanyam, A., 1996. Market microstructure and asset pricing: on the compensation for illiquidity in stock returns. Journal of Financial Economics, 41: 441-464.
8. Eleswarapu, V. (1996) Cost of transacting and expected returns in the Nasdaq market. Working Paper, University of Auckalnd, New Zealand.
9. Eleswarapu, V., and Reinganum, M., 1993. The seasonal behavior of the liquidity premium in asset pricing. Journal of Financial Economics, 34: 373-386.
10. Fama, E., and MacBeth, J., 1973. Risk, return and equilibrium: empirical tests. Journal of Political Economy, 81: 607-636.
11. Fama, E., and French, K., 1992. The cross-section of expected stock returns. Journal of Financia, 47: 427-465.
12. Fama, E., and French, K., 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33: 3-56.
13. Foster, F., and Viswanathan, S., 1993. Variations in trading volume, return volatility, and trading costs: evidence on recent price formation models. Journal of Finance, 48: 187-211.
14. Fowler, D., and Rorke, C., 1983. Risk measurement when shares are subject to infrequent trading. Journal of Financial Economics, 12: 279-283.
15. Gibbons, M., Ross, S., and Shanken, J., 1989. A test of the efficiency of a given portfolio. Econometrica, 57: 1121-1152.
16. Glosten, L., 1994. Is the electronic open limit order book inevitable?. Journal of Finance, 49: 1127-1161.
17. Glosten, L., and Harris, L., 1988. Estimating the components of the bid-ask spread. Journal of Financial Economics, 21: 123-142.
18. Glosten, L., and Milgrom, P., 1985. Bid, ask, and transaction prices in a specialist market with heterogeneously informed agents. Journal of Financial Economics, 14: 71-100.
19. Grinblatt, M., and Titman, S., 1987. The relation between mean-variance efficiency and arbitrage pricing. Journal of Business, 60: 97-112.
20. Hamao, Y., and Hasbrouck, J., 1995. Securities trading in the absence of dealers: trades and quotes on the Tokyo stock exchange. Review of Financial Studies, 8: 849-878.
21. Huang, R., and Stoll, H., 1996. Dealer versus auction markets: a paired comparison of execution costs on NASDAQ and the NYSE. Journal of Financial Economics, 41: 313-358.
22. Kothari, S., Shanken, J., and Sloan, R., 1995. Another look at the cross-section of expected returns. Journal of Finance, 50: 185-224.
23. Kyle, A., 1985. Continous auctions and insider trading. Econometrica, 53: 1315-1335.
24. Lee, C., Mucklow, B., and Ready, M., 1993. Spreads, depths, and the impact of earnings information: an intraday analysis. Review of Financial Studies, 6: 345-374.
25. Mackinley, C. (1995) Multifactor models do not explain deviations from the CAPM, 38, 3-28.
26. Mackinley, C., and Richardson, M., 1991. Using generalized methods of moments to test mean-variance efficiency. Journal of Finance, 46: 511-527.
27. Petersen, M., and Fialkowski, D., 1994. Posted versus effective spreads: good prices or bad quotes?. Journal of Financial Economics, 35: 269-292.
28. Rubio, G., 1988. Further international evidence on asset pricing: the case of the Spanish capital market. Journal of Banking and Finance, 12: 221-242.
29. Rubio, G., 1995. Further evidence on performance evaluation: portfolio holdings, recommendations, and turnover costs. Review of Quantitative Finance and Accounting, 5: 127-153.
30. Rubio, G., and Tapia, M., 1996. Adverse selection, volume, and transactions around dividend announcements in a ontinuous auction system. European Financial Management, 2: 39-67. Forthcoming
31. Sentana, E., 1995a. Riesgo y rentabilidad en el mercado de valores Español. Moneda y Crédito, 200: 133-160.
32. Sentana, E. (1995b) Risk and return in the Spanish stock market: II. Working Paper, CEMFI, Madrid.
33. Shanken, J. and M. Weinstein (1991) Macroeconomic variables and asset pricing: further results. Working Paper, Managerial Economics Research Studies, Bradley Policy Research Center, University of Rochester.