套利不对称、错误定价和非流动性溢价

IF 2.1 3区经济学 Q2 BUSINESS, FINANCE

European Financial Management Pub Date : 2023-10-13 DOI:10.1111/eufm.12462

Feifei Wang, Lingling Zheng

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引用次数: 0

摘要

非流动性资产需要回报溢价；非流动性也是套利的限制因素。我们发现，Amihud 的非流动性溢价在定价过低的股票中明显高于定价过高的股票。剔除定价最错误的股票后，非流动性溢价的估计值更高，也更可靠。Amihud 的非流动性指标与定价过高呈正相关，这与套利不对称是一致的，而与 Lou 和 Shu 的观点不一致，即与 Amihud 指标相关的回报溢价反映的是定价错误而不是对非流动性的补偿。我们的结果表明，在评估非流动性指标的定价时，必须考虑到它们作为套利限制的作用。

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Arbitrage asymmetry, mispricing and the illiquidity premium

Illiquid assets require a return premium; illiquidity is also a limit-to-arbitrage. We find that Amihud's illiquidity premium is significantly higher among underpriced stocks than among overpriced stocks. Excluding the most mispriced stocks leads to a higher and more reliably estimated illiquidity premium. Amihud's illiquidity measure is positively correlated with overpricing, consistent with arbitrage asymmetry, while inconsistent with Lou and Shu's contention that the return premium associated with the Amihud measure reflects mispricing rather than compensation for illiquidity. Our results demonstrate that it is important to account for their role as limits-to-arbitrage when evaluating the pricing of illiquidity measures.

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来源期刊

European Financial Management BUSINESS, FINANCE-

CiteScore

4.30

自引率

18.20%

发文量

期刊介绍： European Financial Management publishes the best research from around the world, providing a forum for both academics and practitioners concerned with the financial management of modern corporation and financial institutions. The journal publishes signficant new finance research on timely issues and highlights key trends in Europe in a clear and accessible way, with articles covering international research and practice that have direct or indirect bearing on Europe.