학회소식
[2019년 제 4차] The Pricing of the Illiquidity Factor’s Conditional Risk with Time-varying Premium
작성자 : 관리자
조회수 : 41
게시일 :
2019-12-12
We test the pricing of the conditional systematic risk (β) of a traded illiquidity factor IML, the
return premium on illiquid-minus-liquid stocks, when its risk premium is allowed to vary over
time. We find a positive and significant risk premium on conditional βIML that rises in times of
financial distress, measured by the corporate bond yield spread or broker–dealer loans (including
margin loans). Notably, the conditional βIML is unique in being significantly priced across
individual stocks. None of the unconditional and conditional βs of Fama and French and Carhart
factors is consistently and significantly priced nor are the βs of popular alternative liquidity-based
factors.
