Please use this identifier to cite or link to this item: http://ktisis.cut.ac.cy/handle/10488/9174
Title: The effects of non-trading on the illiquidity ratio
Authors: Chelley-Steeley, Patrìcia Lorraine 
Lambertides, Neophytos 
Steeley, James M. 
Keywords: Asset pricing;G12;Illiquidity ratio;Non-trading
Category: Economics and Business
Field: Social Sciences
Issue Date: 1-Dec-2015
Publisher: Elsevier
Source: Journal of Empirical Finance, 2015, Volume 34, December 01, Pages 204-228
metadata.dc.doi: http://dx.doi.org/10.1016/j.jempfin.2015.05.004
Abstract: Using a simulation analysis we show that non-trading can cause an overstatement of the observed illiquidity ratio. Our paper shows how this overstatement can be eliminated with a very simple adjustment to the Amihud illiquidity ratio. We find that the adjustment improves the relationship between the illiquidity ratio and measures of illiquidity calculated from transaction data. Asset pricing tests show that without the adjustment, illiquidity premia estimates can be understated by more than 17% for NYSE securities and by more than 24% for NASDAQ securities.
URI: http://ktisis.cut.ac.cy/handle/10488/9174
ISSN: 09275398
Rights: © 2015 Elsevier B.V.
Type: Article
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