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dc.contributor.authorRubio Irigoyen, Gonzalo
dc.contributor.authorMartínez Sedano, Miguel Ángel ORCID
dc.contributor.authorNieto, Belén
dc.date.accessioned2012-02-06T14:55:32Z
dc.date.available2012-02-06T14:55:32Z
dc.date.issued2002
dc.identifier.issn1988-088X
dc.identifier.urihttp://hdl.handle.net/10810/6758
dc.description.abstractSystematic liquidity shocks should affect the optimal behavior of agents in financial markets. Indeed, fluctuations in various measures of liquidity are significantly correlated across common stocks. Accordingly, this paper empirically analyzes whether Spanish average returns vary cross-sectionally with betas estimated relative to two competing liquidity risk factors. The first one, proposed by Pastor and Stambaugh (2002), is associated with the strength of volume-related return reversals. Our marketwide liquidity factor is defined as the difference between returns highly sensitive to changes in the relative bid-ask spread and returns with low sensitivities to those changes. Our empirical results show that neither of these proxies for systematic liquidity risk seems to be priced in the Spanish stock market. Further international evidence is deserved.es
dc.description.sponsorshipMiguel A. Martínez and Gonzalo Rubio acknowledge the financial support provided by Ministerio de Ciencia y Tecnología grant BEC2001-0636 and Belén Nieto acknowledge the financial support provided by Ministerio de Ciencia y Tecnología grant BEC2002-03797.es
dc.language.isoenges
dc.publisherUniversity of the Basque Country, Department of Foundations of Economic Analysis IIes
dc.relationinfo:eu-repo/grantAgreement/MCYT/BEC2001-0636
dc.relationinfo:eu-repo/grantAgreement/MCYT/BEC2002-03797
dc.relation.ispartofseriesDFAEII 2002.05
dc.rightsinfo:eu-repo/semantics/openAccesses
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/3.0/*
dc.subjectsystematic liquidity riskes
dc.subjectexpected returnses
dc.subjectbid ask spreades
dc.subjectorder flowes
dc.titleAsset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock marketes
dc.typeinfo:eu-repo/semantics/workingPaperes
dc.rights.holderAttribution-NonCommercial-ShareAlike 3.0 Unported*
dc.subject.jelG12
dc.identifier.repecRePEc:ehu:dfaeii:200205es
dc.departamentoesFundamentos del análisis económico IIes_ES
dc.departamentoeuEkonomia analisiaren oinarriak IIes_ES
dc.subject.categoriaECONOMICS, ECONOMETRICS AND FINANCE
dc.subject.categoriaFINANCIAL ECONOMICS


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Attribution-NonCommercial-ShareAlike 3.0 Unported
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-ShareAlike 3.0 Unported