MARC Record from Library of Congress

LEADER: 02317cam a22003257a 4500
001 2005618412
003 DLC
005 20050712145217.0
007 cr |||||||||||
008 050712s2005 mau sb 000 0 eng
010 $a 2005618412
040 $aDLC$cDLC
050 00 $aHB1
100 1 $aBekaert, Geert.
245 10 $aLiquidity and expected returns$h[electronic resource] :$blessons from emerging markets /$cGeert Bekaert, Campbell R. Harvey, Christian Lundblad.
260 $aCambridge, MA :$bNational Bureau of Economic Research,$cc2005.
490 1 $aNBER working paper series ;$vworking paper 11413
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 7/12/2005.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"Given the cross-sectional and temporal variation in their liquidity, emerging equity markets provide an ideal setting to examine the impact of liquidity on expected returns. Our main liquidity measure is a transformation of the proportion of zero daily firm returns, averaged over the month. We find that our liquidity measures significantly predict future returns, whereas alternative measures such as turnover do not. Consistent with liquidity being a priced factor, unexpected liquidity shocks are positively correlated with contemporaneous return shocks and negatively correlated with shocks to the dividend yield. We consider a simple asset pricing model with liquidity and the market portfolio as risk factors and transaction costs that are proportional to liquidity. The model differentiates between integrated and segmented countries and periods. Our results suggest that local market liquidity is an important driver of expected returns in emerging markets, and that the liberalization process has not eliminated its impact"--National Bureau of Economic Research web site.
650 0 $aStocks.
650 0 $aLiquidity (Economics)
650 0 $aCapital assets pricing model.
700 1 $aHarvey, Campbell R.
710 2 $aNational Bureau of Economic Research.
830 0 $aWorking paper series (National Bureau of Economic Research : Online) ;$vworking paper no. 11413.
856 40 $uhttp://papers.nber.org/papers/W11413