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Asset pricing and systematic liquidity risk: An empirical investigation of the Spanish stock market

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorMartínez, Miguel Ángel
dc.contributor.authorNieto, Belén
dc.contributor.authorRubio, Gonzalo
dc.contributor.authorTapia, Mikel
dc.date.accessioned2010-03-09T08:58:41Z
dc.date.available2010-03-09T08:58:41Z
dc.date.issued2005
dc.description.abstractSystematic liquidity shocks should affect the optimal behavior of agents in financial markets. Indeed, fluctuations in various measures of liquidity are significantly correlated across common stocks. Accordingly, this paper empirically analyzes whether Spanish average returns vary cross sectionally with betas estimated relative to three competing liquidity risk factors. The first one, proposed by Pastor and Stambaugh (2003), is associated with the temporary price fluctuation reversals induced by the order flow. Our market-wide liquidity factor is defined as the difference between returns highly sensitive to changes in the relative bid–ask spread and returns with low sensitivities to those changes. Finally, the aggregate ratio of absolute stock returns to euro volume, as suggested by Amihud [J. Financ. Mark. 5 (2002) 31], is also employed. Our empirical results show that systematic liquidity risk is significantly priced in the Spanish stock market exclusively when betas are measured relative to the illiquidity risk factor based on the price response to one euro of trading volume on either unconditional or conditional versions of liquidity-based asset pricing models.
dc.description.statusPublicado
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationInternational Review of Economics & Finance, 2005, vol. 14, nº 1, p. 81-103.
dc.identifier.doi10.1016/j.iref.2003.12.001
dc.identifier.issn1059-0560
dc.identifier.publicationfirstpage81
dc.identifier.publicationissue1
dc.identifier.publicationlastpage103
dc.identifier.publicationtitleInternational Review of Economics & Finance
dc.identifier.publicationvolume14
dc.identifier.urihttps://hdl.handle.net/10016/7176
dc.language.isoeng
dc.publisherElsevier
dc.relation.isversionofhttp://hdl.handle.net/10016/76
dc.relation.isversionofhttp://hdl.handle.net/10016/7333
dc.relation.publisherversionhttp://dx.doi.org/10.1016/j.iref.2003.12.001
dc.rights©Elsevier
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEmpresa
dc.subject.jelG12
dc.subject.otherSystematic liquidity risk
dc.subject.otherExpected returns
dc.subject.otherBid–ask spread
dc.subject.otherOrder flow
dc.subject.otherTrading volume
dc.titleAsset pricing and systematic liquidity risk: An empirical investigation of the Spanish stock market
dc.typeresearch article*
dc.type.reviewPeerReviewed
dspace.entity.typePublication
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