Liquidity skewness premium
Jeong, Giho and Kang, Jangkoo and Kwon, Kyung Yoon (2018) Liquidity skewness premium. North American Journal of Economics and Finance, 46. pp. 130-150. ISSN 1062-9408 (https://doi.org/10.1016/j.najef.2018.04.015)
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Risk-averse investors may dislike decrease of liquidity rather than increase of liquidity, and thus there can be asymmetric preference in variation of liquidity. In addition, investors are likely to avoid extreme illiquidity. This paper examines whether the skewness of an individual firm’s liquidity capturing asymmetric distribution of liquidity and extreme illiquidity is priced in the US stock market. Using the skewness of the daily price impact, we find that it is positively priced, and this positive relation is significant up to eight months after controlling for other effects. Moreover, we find our results remain significant with the skewness of alternative liquidity measures, i.e., dollar-volume, and turnover.
ORCID iDs
Jeong, Giho, Kang, Jangkoo and Kwon, Kyung Yoon ORCID: https://orcid.org/0000-0002-6212-8187;-
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Item type: Article ID code: 65451 Dates: DateEvent30 November 2018Published7 September 2018Published Online23 April 2018AcceptedSubjects: Social Sciences > Finance Department: Strathclyde Business School > Accounting and Finance Depositing user: Pure Administrator Date deposited: 18 Sep 2018 08:27 Last modified: 12 Nov 2024 01:12 URI: https://strathprints.strath.ac.uk/id/eprint/65451