Asset pricing and systematic liquidity risk: An empirical investigation of the Spanish stock market

International Review of Economics and Finance

Volumn 14, Issue 1, 2005, Pages 81-103

  Martínez, Miguel A ^a   Nieto, Belén ^b   Rubio, Gonzalo ^a   Tapia, Mikel ^c  

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

^b UNIVERSITY OF ALICANTE   (Spain)

^c UNIVERSIDAD CARLOS III DE MADRID   (Spain)

Author keywords

Bid ask spread; Expected returns; Order flow; Systematic liquidity risk; Trading volume

Indexed keywords

EID: 13844294125     PISSN: 10590560     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.iref.2003.12.001     Document Type: Review

References (31)

1. Acharya, V., & Pedersen, L. (2003). Asset pricing with liquidity risk. Working Paper, London Business School
2. Amihud Y. Illiquidity and stock returns: Cross-section and time-series effects Journal of Financial Markets 5 2002 31-56
3. Amihud Y. & Mendelson H. Asset pricing and the bid-ask spread Journal of Financial Economics 17 1986 223-249
4. Brennan M. & Subrahmanyam M. Market microstructure and asset pricing: On the compensation for illiquidity in stock returns Journal of Financial Economics 41 1996 441-464
5. Campbell J. Asset pricing at the millennium Journal of Finance 55 2001 1515-1567
6. Chordia T. Roll R. & Subrahamanyam A. Commonality in liquidity Journal of Financial Economics 56 2000 3-28
7. Cochrane J. Asset pricing 2001 Princeton University Press Princeton, NJ
8. Constantinides G. Rational asset prices Journal of Finance 57 2002 1567-1591
9. Domowitz, I., & Wang, X. (2002). Liquidity, liquidity commonality and its impact on portfolio theory. Working Paper, Penn State University
10. Easley D. Hvidkjaer S. & O'Hara M. Is information risk a determinants of asset returns? Journal of Finance 58 2002 2185-2210
11. Eleswarapu V. & Reinganum M. The seasonal behavior of liquidity premium in asset pricing Journal of Financial Economics 34 1993 373-386
12. Ericsson, J., & Renault, O. (2000). Liquidity and credit risk. Working Paper, McGill University, Montreal
13. Fama E. & French K. Common risk factors in the returns on stocks and bonds Journal of Financial Economics 33 1993 3-56
14. Forner C. & Marhuenda J. Contrarian and momentum strategies in the Spanish stock market European Financial Management Journal 9 2003 67-88
15. Hasbrouck, J. (2002). Inferring trading costs from daily data: US equities from 1962 to 2001. Working Paper, Stern School of Business, New York University
16. Hasbrouck J. & Seppi D. Common factors in prices, order flows, and liquidity Journal of Financial Economics 59 2001 383-411
17. Holmström B. & Tirole J. LAPM: A liquidity-based asset pricing Journal of Finance 56 2001 1837-1867
18. Huberman, G., & Halka, D. (1999). Systematic liquidity. Working Paper. Columbia Business School.
19. Lettau M. & Ludvigson S. Consumption, aggregate wealth, and expected stock returns Journal of Finance 56 2001 815-849
20. Lustig, H. (2001). The market price of aggregate risk and the wealth distribution. Working Paper, Stanford University.
21. Martínez, M., Rubio, G., & Tapia, M., 2003. Understanding the ex-ante cost of liquidity in the limit order book: A note, forthcoming in the Revista de Economía Aplicada.
22. Nieto B. La Valoración Intertemporal de Activos: Un Análisis Empírico para el Mercado Español de Valores Investigaciones Económicas 26 2002 497-524
23. Nieto, B., & Rodríguez, R. (2002). The consumption-wealth and book-to-market ratios in a dynamic asset pricing context. Working Paper, WP-EC 2002-24, Instituto Valenciano de Investigaciones Económicas (IVIE)
24. Nieto, B. & Rodríguez, R. (2003). Los Modelos de Valoración de Activos Condicionales: Un Panorama Comparativo Ilustrado con Datos Españoles. Working Paper, Universidad de Alicante
25. Pastor L. & Stambaugh R. Liquidity risk and expected stock returns Journal of Political Economy 111 2003 642-685
26. Rubio G. Further international evidence on asset pricing: The case of the Spanish capital market Journal of Banking and Finance 12 1988 221-242
27. Rubio G. The stock market in Spain: Performance, structure, and the behavior of asset prices Journal of Financial Markets and Portfolio Management 4 1990 332-354
28. Rubio G. Further evidence on performance evaluation: Portfolio holdings, recommendations, and turnover costs Review of Quantitative Finance and Accounting 5 1995 127-153
29. Rubio G. Tapia M. Adverse selection, volume, and transactions around dividend announcements in a continuous auction system European Financial Management Journal 2 1996 127-153
30. Rubio G. & Tapia M. The liquidity premium in equity pricing under a continuous auction system European Journal of Finance 4 1998 1-28
31. Sadka, R. (2003). Liquidity risk and asset pricing. Working Paper, Kellog School of Management, Northwestern University