Is There a Global Liquidity Factor?

Topics:
Commercial Lending
Tags:
Asset Pricing Analysis,
Finance,
Investment,
Liquidity,
Stock
Source:
Fisher College of Business

FREE Registration is required

Overview: This paper investigates country, industry, and global commonalities in liquidity of individual stocks, and analyzes their implications for the pricing of financial assets in an international framework. The results for three different monthly liquidity measures — based on daily return and trading volume data suggest that individual stock liquidity exhibits commonalities within countries and industries and co-moves globally. Furthermore, global and country-specific commonalities dominate industry effects as the source of common variation in liquidity. The asset pricing analysis suggests that expected stock returns are cross-sectionally related to the sensitivity of returns to shocks in global liquidity, and that global liquidity is a priced risk factor on the portfolio and the individual stock level. Moreover, the results are driven neither by time-varying levels of asset-specific liquidity, nor by observations from recently listed firms, for which liquidity and return processes are likely different.

(Is this item miscategorized? Does it need more tags? Let us know.)

Format: PDF | Size: 1,219KB | Date: Oct 2003 | Pages: 49

People who downloaded this item also downloaded

White Paper Bankruptcy Alternatives - 5 Ways To Avoid Bankruptcy
White Paper Alternatives To Declaring Business Bankruptcy
White Paper Liquidity
White Paper Bank Mergers, Competition and Liquidity
White Paper Asset Pricing With Liquidity Risk

Top results from Commercial Lending

White Paper Does Bank Lending Affect Output? Evidence from the U.S. States
White Paper What Did the Credit Market Expect of Argentina Default? Evidence from Default Swap Data
White Paper New Evidence on the Interest Rate Effects of Budget Deficits and Debt
White Paper Consumption, Debt and Portfolio Choice: Testing the Effect of Bankruptcy Law
White Paper Small Business Loan Turndowns, Personal Wealth and Discrimination

» View all Commercial Lending listings

advertisement
advertisement
  • Click Here
  • Click Here
  • Click Here
advertisement

Returning users: Log In Here!

Already registered on BNET, TechRepublic, or ZDNet? Simply log in.

Free Membership: Sign Up Now!

Sign up for a free membership today and get instant and unlimited access to one of the largest databases of white papers, webcasts, and casestudies anywhere. Your FREE membership allows you to:

  • Download an unlimited amount of content, including classic and current white papers, case studies, webcasts and more
  • Track content on your chosen topics of interest
  • Receive targeted email alerts when your favorite content is added
  • Save content for future reading
  • Receive our member newsletter

When you register to access this directory, you become a member of BNET. In addition, you allow us to share your information with companies that produce products or services featured in the library--so that such companies may contact you with information and offers regarding their products and services. This enables us to keep the library a free service. As a directory registrant, you will receive a complimentary subscription to the BNET member newsletter, The BNET Report. You can unsubscribe from this newsletter at any time. By clicking the Sign up button, you indicate that you agree to our Terms and Conditions and have read and understand our Privacy Policy (updated).