Document Type

Article

Source of Publication

Emerging Markets Review

Publication Date

3-1-2020

Abstract

© 2019 The Authors We perform a comprehensive examination of the role of stock-level liquidity in the cross-section of frontier market stock returns. Using several popular liquidity measures and a battery of asset pricing tests, we investigate the illiquidity premium in 22 countries for the years 1991–2019. Contrary to typical relationships in developed and emerging markets, we find no evidence of illiquidity premium in frontier equities. Our findings support the hypothesis that for countries not fully integrated with the global economy, the diversification benefits offset the illiquidity, which, in turn, proves less important.

ISSN

1566-0141

Publisher

Elsevier B.V.

Volume

42

First Page

100673

Disciplines

Business

Keywords

Asset pricing, Frontier stock markets, Illiquidity premium, Liquidity, The cross-section of returns

Scopus ID

85077156190

Creative Commons License

Creative Commons Attribution 4.0 License
This work is licensed under a Creative Commons Attribution 4.0 License.

Indexed in Scopus

yes

Open Access

yes

Open Access Type

Hybrid: This publication is openly available in a subscription-based journal/series

Included in

Business Commons

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