The liquidity premium: Evidence from the Polish stock market
The liquidity premium: Evidence from the Polish stock market
Author(s): Cristina GanjaSubject(s): Economy, Financial Markets
Published by: EDITURA ASE
Keywords: Liquidity Premium; Liquidity Factor; Asset Pricing; Warsaw Stock Exchange;
Summary/Abstract: The main purpose of this study is to investigate the existence of a liquidity premium on the Polish stock market, using the liquidity-adjusted CAPM. In order to measure the influence of the liquidity of stocks returns, there was constructed a liquidity factor using the newest high-low spread liquidity measure, developed by Corwin and Schultz (2012). The results have showed that there is a significant liquidity premium positively influencing the excess returns of stocks from the Poland market, and the premium is growing from the most liquid portfolio to the less liquid one.
Journal: The Review of Finance and Banking
- Issue Year: 11/2019
- Issue No: 1
- Page Range: 7-13
- Page Count: 7
- Language: English
