An extension analysis of Amihud's illiquidity premium: Evidence from the Taiwan stock market-Reference-Cited by-同舟云学术

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An extension analysis of Amihud's illiquidity premium: Evidence from the Taiwan stock market

Published:2024-10 Issue: Volume:87 Page:102483
ISSN:0927-538X
Container-title:Pacific-Basin Finance Journal
language:en
Short-container-title:Pacific-Basin Finance Journal

Author:

Lee Hsiu-Chuan,Lien Donald,Sheu Her-Jiun,Yang Chung-Jen

Funder

National Science and Technology Council

Ministry of Science and Technology, Taiwan

Publisher

Elsevier BV

Reference37 articles.

1. Illiquidity and stock returns: cross-section and time-series effects;Amihud;J. Financ. Mark.,2002

2. Illiquidity and stock returns II: cross-section and time-series effects;Amihud;Rev. Financ. Stud.,2021

3. The pricing of the illiquidity factor’s conditional risk with time-varying premium;Amihud;J. Financ. Mark.,2021

4. Influence of endogenous reference points on the selling decisions of retail investors;Bansal;Eur. Financ. Manag.,2023

5. The night and day of Amihud’s (2002) liquidity measure;Barardehi;Rev Asset Pric Stud,2021

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