True Iliquidity and Future Stock Returns
April 6, 2017 - Equity Premium, Size Effect, Volatility Effects
Does disentangling measures of stock illiquidity and market capitalization (size) support belief in an illiquidity premium (a reward for holding illiquid assets)? In the December 2016 version of their paper entitled “The Value of True Liquidity”, Robin Borcherding and Michael Stein investigate this question by controlling the most widely used stock illiquidity metric for size. Specifically they… Keep Reading