非流动性与股票超额收益的时变关系：来自美国、英国和德国的证据

IF 9.8 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis Pub Date : 2025-07-17 DOI:10.1016/j.irfa.2025.104469

Thomas Paul, Abdullah Aryoubi, Thomas Walther

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引用次数: 0

摘要

我们研究了美国、英国和德国股票市场在不同时期（1999年至2022年）的市场非流动性和超额回报之间的结构性关系。通过断点分析，我们进一步深入了解非流动性对资产价格影响的全貌。尽管对这种关系的批评越来越多，但我们表明，流动性不足仍然是一个重要因素。我们的结果是稳健的各种变化的Amihud的非流动性措施。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The time-varying relationship between illiquidity and excess stock returns: Evidence from U.S., UK, and Germany

We investigate the structural relationship between market illiquidity and excess returns in the U.S., UK, and German stock markets over different sub-periods (1999 to 2022). Using breakpoint analysis, we provide further insight into the comprehensive picture of illiquidity's impact on asset prices. Despite the growing criticism of this relationship, we show that illiquidity still is a significant factor. Our results are robust to various variations of Amihud's illiquidity measure.

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来源期刊

International Review of Financial Analysis BUSINESS, FINANCE-

CiteScore

10.30

自引率

9.80%

发文量

366

期刊介绍： The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.