The Liquidity Premium in Equity Pricing under a Continuous Auction System

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Show simple item record Rubio, Gonzalo Tapia Torres, Miguel Ángel 2010-03-10T12:43:34Z 2010-03-10T12:43:34Z 1998-03
dc.identifier.bibliographicCitation The European Journal of Finance, 1998, vol. 4, nº 1, p. 1-28.
dc.identifier.issn 1351-847X (print)
dc.identifier.issn 1466-4364 (online)
dc.description.abstract The paper shows that the cost of illiquidity is not (positively) priced over all months in the Spanish continuous auction system, where liquidity is provideh 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 liquidity premium in January is positive (although not significant) and at the 10% 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 with the exception of NASDAQ, the behaviour of the relationship between the bid-ask spread and stock returns is rather similar.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Taylor & Francis
dc.rights ©Taylor & Francis
dc.subject.other asset pricing
dc.subject.other market microstructure
dc.subject.other liquidity premium
dc.title The Liquidity Premium in Equity Pricing under a Continuous Auction System
dc.type article PeerReviewed
dc.description.status Publicado
dc.subject.eciencia Empresa
dc.identifier.doi 10.1080/13518479800000001
dc.rights.accessRights openAccess
dc.identifier.publicationfirstpage 1
dc.identifier.publicationissue 1
dc.identifier.publicationlastpage 28
dc.identifier.publicationtitle The European Journal of Finance
dc.identifier.publicationvolume 4
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