| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5921 |
| DP5921 Wage Structure and Public Sector Employment: Sweden versus the United States 1970-2002 | |
| Lars Ljungqvist; David Domeij | |
| 发表日期 | 2006-11-23 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | Given the cross-sectional and temporal variation in their liquidity, emerging equity markets provide an ideal setting to examine the impact of liquidity on expected returns. Our main liquidity measure is a transformation of the proportion of zero daily firm returns, averaged over the month. We find that our liquidity measures significantly predict future returns, whereas alternative measures such as turnover do not. Consistent with liquidity being a priced factor, unexpected liquidity shocks are positively correlated with contemporaneous return shocks and negatively correlated with shocks to the dividend yield. We consider a simple asset pricing model with liquidity and the market portfolio as risk factors and transaction costs that are proportional to liquidity. The model differentiates between integrated and segmented countries and time periods. Our results suggest that local market liquidity is an important driver of expected returns in emerging markets, and that the liberalization process has not fully eliminated its impact. |
| 主题 | Financial Economics |
| 关键词 | Liquidity pricing Emerging markets Return predictability |
| URL | https://cepr.org/publications/dp5921 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534785 |
| 推荐引用方式 GB/T 7714 | Lars Ljungqvist,David Domeij. DP5921 Wage Structure and Public Sector Employment: Sweden versus the United States 1970-2002. 2006. |
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