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引用次数: 100
摘要
本文通过研究美国存托凭证(ADR)及其标的股票的流动性溢价关系，探讨了资产定价中的流动性效应。使用[Amihud, Yakov, 2002]。非流动性与股票收益:横截面和时间序列效应。《金融市场杂志》(Journal of Financial Markets)第5期，31-56页]衡量，换手率和交易频率作为流动性的代表，我们表明，就这些变量的变化而言，较高的ADR溢价与较高的ADR流动性和较低的股票流动性相关。我们发现，在我们控制了企业规模和一些国家特征(如外汇汇率的预期变化、股票市场表现以及衡量国内市场开放性和透明度的几个变量)之后，流动性效应仍然很强。
A Tale of Two Prices: Liquidity and Asset Prices in Multiple Markets
This paper investigates the liquidity effect in asset pricing by studying the liquidity-premium relationship of an American depositary receipt (ADR) and its underlying share. Using the [Amihud, Yakov, 2002. Illiquidity and stock returns: cross-section and time series effects. Journal of Financial Markets 5, 31-56] measure, the turnover ratio and trading infrequency as proxies for liquidity, we show that a higher ADR premium is associated with higher ADR liquidity and lower home share liquidity, in terms of changes in these variables. We find that the liquidity effects remain strong after we control for firm size and a number of country characteristics, such as the expected change in the foreign exchange rate, the stock market performance, as well as several variables measuring the openness and transparency of the home market.
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