TY  - UNPD
A1  - Ben-Rephael, Azi
A1  - Kadan, Ohad
A1  - Wohl, Avi
T1  - The diminishing liquidity premium
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2008,52
N2  - Previous evidence suggests that less liquid stocks entail higher average returns. Using NYSE data, we present evidence that both the sensitivity of returns to liquidity and liquidity premia have significantly declined over the past four decades to levels that we cannot statistically distinguish from zero. Furthermore, the profitability of trading strategies based on buying illiquid stocks and selling illiquid stocks has declined over the past four decades, rendering such strategies virtually unprofitable. Our results are robust to several conventional liquidity measures related to volume. When using liquidity measure that is not related to volume, we find just weak evidence of a liquidity premium even in the early periods of our sample. The gradual introduction and proliferation of index funds and exchange traded funds is a possible explanation for these results.
T3  - CFS working paper series - 2008, 52 
KW  - Liquidity
KW  - Illiquidity
KW  - Liquidity Premium
KW  - Stock Returns
KW  - Liquidität
Y1  - 2008
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/6194
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-62317
ER  -