Welcome
to Keele Research
Keele Research Repository
Explore the Repository
Tools
Tools
Chelley-Steeley, P, Lambertides, N and Steeley, JM (2015) The effects of non-trading on the illiquidity ratio. Journal of Empirical Finance, 34. 204 -228. ISSN 0927-5398
steeley_liquidity.pdf - Accepted Version
Available under License Creative Commons Attribution Non-commercial No Derivatives.
Download (1MB) | Preview
Abstract
Using a simulation analysis we show that non-trading can cause an overstatement of the observed illiquidity ratio. Our paper shows how this overstatement can be eliminated with a very simple adjustment to the Amihud illiquidity ratio. We find that the adjustment improves the relationship between the illiquidity ratio and measures of illiquidity calculated from transaction data. Asset pricing tests show that without the adjustment, illiquidity premia estimates can be understated by more than 17% for NYSE securities and by more than 24% for NASDAQ securities.
| Item Type: | Article |
|---|---|
| Additional Information: | This is the accepted author manuscript (AAM). The final published version (version of record) is available online via Elsevier at http://dx.doi.org/10.1016/j.jempfin.2015.05.004 Please refer to any applicable terms of use of the publisher. |
| Uncontrolled Keywords: | Illiquidity Ratio, Non-Trading, Risk Premia |
| Subjects: | H Social Sciences > HF Commerce H Social Sciences > HG Finance |
| Divisions: | Faculty of Humanities and Social Sciences > Keele Management School |
| Depositing User: | Symplectic |
| Date Deposited: | 18 Mar 2016 10:19 |
| Last Modified: | 25 Jun 2018 08:43 |
| URI: | https://eprints.keele.ac.uk/id/eprint/1580 |
Actions (login required)
- View Item
