State-dependent variations in the expected illiquidity premium

DOI10.1093/ROF/RFW053MaRDI QIDQ4555719zbMATH OpenOpenAlexFDO

Authors Jeewon Jang, Jangkoo Kang, Changjun Lee

Publication date 20 November 2018

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/rof/rfw053

zbMATH Keywords

business cycleeconomic statesilliquidity premiumMarkov switching modelstock market liquidity

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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• Illiquidity premium and expected stock returns in the UK: a new approach
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