The liquidity premiun in equity pricing under a continuous auction system

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dc.contributor.author Rubio, Gonzalo
dc.contributor.author Tapia Torres, Miguel Ángel
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
dc.date.accessioned 2010-02-25T09:15:23Z
dc.date.available 2010-02-25T09:15:23Z
dc.date.issued 1996-11
dc.identifier.uri http://hdl.handle.net/10016/7014
dc.description.abstract This paper shows that the cost of iliquidity is not (positiveley) priced over all months in the Spanish continuous auction system where Iiquidity is provided in the absence of market makers. Two distinct approaches are employed. Both the two-step traditional cross-sectional method and the pooled cross-section time series analysis tend to indicate that the liquidity premium is negative during months other than January. Morever, the Iiquidity premium in January is positive (although not significant) and at the 10 per cent level it seems to be significantly higher than the liquidity premium over the rest of the year. Therefore, given the previous results for the US market, we conclude that, independently of the market trading mechanism, the behavior of the relationship between the bid-ask spread and stock retums is rather similar.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Business Economics
dc.relation.ispartofseries 96-72-14
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.title The liquidity premiun in equity pricing under a continuous auction system
dc.type workingPaper
dc.subject.eciencia Empresa
dc.rights.accessRights openAccess
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