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Regular version of the site
ФКН

ICEF/LFE Research Seminar by Yakov Amihud (New York University)

On Thursday, June 9 at 4.40 pm, room 3211 (Shabolovka str. 26) ICEF and LFE held the Research Seminar in Finance.
Speaker: Yakov Amihud (New York University)
Theme: "The Pricing of the Illiquidity Factor's Systematic Risk"

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.


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