Skip to main content

Pricing liquidity risk and cost in the stock market: How different was the financial crisis?

Buy Article:

$43.00 plus tax (Refund Policy)

Abstract:

Past literature has proven that liquidity plays a role in stock pricing, but our study shows that this role is remarkably bigger during an unstable period – the subprime crisis. The market became more sensitive to illiquidity costs and investors were paying a higher premium in crisis than in boom. This conclusion holds even when the overall illiquidity cost is divided into an expected part and an unexpected part. In contrast, while the market remained largely as sensitive to liquidity risk as before, liquidity risk itself, represented by the liquidity betas, changed remarkably in the crisis period compared to the prior boom period.

Document Type: Research Article

DOI: http://dx.doi.org/10.1057/jam.2010.26

Publication date: June 12, 2011

pal/jam/2011/00000012/00000002/art00003
dcterms_title,dcterms_description,pub_keyword
6
5
20
40
5

Access Key

Free Content
Free content
New Content
New content
Open Access Content
Open access content
Subscribed Content
Subscribed content
Free Trial Content
Free trial content
Cookie Policy
X
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more