We test the liquidity-adjusted capital asset pricing model of Acharya and Pedersen (2005) for 1962-2009 in the US market using various liquidity measures. In cross-sectional regression tests, we find that the test results vary according to the liquidity measures used in the test. However, when we form liquidity risks based on the first principal component across eight different measures of illiquidity for a given stock, we find that, consistent with Acharya and Pedersen (2005), liquidity risk based on the covariance of stock liquidity with market return is significantly priced. We also find some evidence supporting pricing of liquidity risk that arises from the commonality of liquidity.
Keywords: liquidity; liquidity-adjusted capital asset pricing model; liquidity measure; principal component
JEL Classification: G11, G12
학회소식
공지사항
[2011년 제 4차] Pricing of liquidity risks by alternative liquidity
작성자 : 관리자
조회수 : 1003
게시일 :
2011-12-07