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https://hdl.handle.net/20.500.14279/9174| Title: | The effects of non-trading on the illiquidity ratio | Authors: | Chelley-Steeley, Patrìcia Lorraine Lambertides, Neophytos Steeley, James M. |
Major Field of Science: | Social Sciences | Field Category: | Economics and Business | Keywords: | Asset pricing;G12;Illiquidity ratio;Non-trading | Issue Date: | 1-Dec-2015 | Source: | Journal of Empirical Finance, 2015, vol. 34, pp. 204-228 | Volume: | 34 | Start page: | 204 | End page: | 228 | DOI: | http://dx.doi.org/10.1016/j.jempfin.2015.05.004 | Journal: | Journal of Empirical Finance | 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: | https://hdl.handle.net/20.500.14279/9174 | ISSN: | 09275398 | DOI: | 10.1016/j.jempfin.2015.05.004 | Rights: | © Elsevier Attribution-NonCommercial-NoDerivs 3.0 United States |
Type: | Article | Affiliation : | Birmingham Business School Cyprus University of Technology Aston University |
Publication Type: | Peer Reviewed |
| Appears in Collections: | Άρθρα/Articles |
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