ICEF/LFE Research Seminar by Yakov Amihud (New York University)
Event ended
On Thursday, June 9 at 4.40 pm, room 3211 (Shabolovka str. 26) ICEF and LFE will hold the Research Seminar in Finance.
Speaker: Yakov Amihud (New York University)
Theme: "The Pricing of the Illiquidity Factor's Systematic Risk"
Speaker: Yakov Amihud (New York University)
Theme: "The Pricing of the Illiquidity Factor's Systematic Risk"
On Thursday, June 9 at 4.40 pm, International College of Economics and Finance and International Laboratory of Financial Economics will hold the Research Seminar in Finance.Speaker: Yakov Amihud (New York University)
Theme: "The Pricing of the Illiquidity Factor's Systematic Risk"
Venue: Shabolovka st., 26, room 4238
Abstract: This paper presents a liquidity factor IML, the return on illiquid-minus-liquid stock portfolios. The IML, adjusted for the common risk factors, measures the illiquidity premium whose annual alpha is about 4% over the period 1950-2012. I then test whether the systematic risk (β) of IML is priced in a multi-factor CAPM. The model allows for a conditional β of IML that rises with observable funding illiquidity and adverse market conditions. The conditional IML β is positively and significantly priced, and remains so after controlling for the beta of illiquidity shocks.
Pass can be ordered by:
Phone: 8 (495) 772-95-90*26090
e-mail: vzheleznov@hse.ru
contact: Zheleznov Slava
Past seminar
Date
June 09, 2016 16:40
Topics
Address
3211