Liquidity and expected returns: Lessons from emerging markets

被引:510
作者
Bekaert, Geert [1 ]
Harvey, Campbell R.
Lundblad, Christian
机构
[1] Columbia Univ, Natl Bur Econ Res, New York, NY 10027 USA
[2] Duke Univ, Natl Bur Econ Res, Durham, NC 27706 USA
[3] Univ N Carolina, Chapel Hill, NC USA
关键词
D O I
10.1093/rfs/hhm030
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
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 it significantly predicts 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.
引用
收藏
页码:1783 / 1831
页数:49
相关论文
共 72 条
[1]   Asset pricing with liquidity risk [J].
Acharya, VV ;
Pedersen, LH .
JOURNAL OF FINANCIAL ECONOMICS, 2005, 77 (02) :375-410
[2]   A Theory of Intraday Patterns: Volume and Price Variability [J].
Admati, Anat R. ;
Pfleiderer, Paul .
REVIEW OF FINANCIAL STUDIES, 1988, 1 (01) :3-40
[3]  
Ahn S. C., 2004, J EMPIR FINANC, V11, DOI [DOI 10.1016/j.jempfin.2002.09.001, DOI 10.1016/J.JEMPFIN.2002.09.001]
[4]   Illiquidity and stock returns: cross-section and time-series effects [J].
Amihud, Y .
JOURNAL OF FINANCIAL MARKETS, 2002, 5 (01) :31-56
[5]   ASSET PRICING AND THE BID ASK SPREAD [J].
AMIHUD, Y ;
MENDELSON, H .
JOURNAL OF FINANCIAL ECONOMICS, 1986, 17 (02) :223-249
[6]   Stock return predictability: Is it there? [J].
Ang, Andrew ;
Bekaert, Geert .
REVIEW OF FINANCIAL STUDIES, 2007, 20 (03) :651-707
[7]   Market liquidity as a sentiment indicator [J].
Baker, M ;
Stein, JC .
JOURNAL OF FINANCIAL MARKETS, 2004, 7 (03) :271-299
[8]   Foreign speculators and emerging equity markets [J].
Bekaert, G ;
Harvey, CR .
JOURNAL OF FINANCE, 2000, 55 (02) :565-613
[9]   MARKET INTEGRATION AND INVESTMENT BARRIERS IN EMERGING EQUITY MARKETS [J].
BEKAERT, G .
WORLD BANK ECONOMIC REVIEW, 1995, 9 (01) :75-107
[10]   Dating the integration of world equity markets [J].
Bekaert, G ;
Harvey, CR ;
Lumsdaine, RL .
JOURNAL OF FINANCIAL ECONOMICS, 2002, 65 (02) :203-247