Price delay premium and liquidity risk

NCUIR > School of Management at National Central University > Department of Finance > journal & Dissertation > Item 987654321/104954

Please use this identifier to cite or link to this item: https://ir.lib.ncu.edu.tw/handle/987654321/104954

Title:	Price delay premium and liquidity risk
Authors:	林基財;Lin, Ji-Chai;Singh, Ajai K.;Sun, Ping-Wen (Steven);Yu, Wen
Contributors:	管理學院財務金融學系
Keywords:	Investor recognition;Liquidity risk;Price delay premium
Date:	2014-01-01
Issue Date:	2026-04-23 12:02:21 (UTC+8)
Publisher:	Elsevier;Elsevier B.V
Abstract:	摘要： Hou and Moskowitz (2005) document that common stocks with more price delay in reflecting information yield higher returns and that the delay premium cannot be explained by the CAPM, Fama-French three-factor model, or Carhart's four-factor model. It cannot be explained by conventional liquidity measures either. They contend that the premium is attributable to inadequate risk sharing arising from lack of investor recognition, as Merton (1987) suggests. Using a parsimonious and powerful asset pricing model developed by Liu (2006), we re-examine the issue and find that firms with greater price delay have more difficulty attracting traders (higher incidents of non-trading) and their investors face higher liquidity risk, which accounts for their anomalous returns. Our findings suggest that the price delay premium is due to systematic liquidity risk, not inadequate risk sharing. ► Hou and Moskowitz (2005) document the price delay premium. ► They attribute the premium to inadequate risk sharing arising from lack of investor recognition. ► We show that firms with greater price delay have more difficulty attracting traders. ► And, their investors face higher liquidity risk, which accounts for their anomalous returns. ► Thus, price delay premium is due to systematic liquidity risk, not inadequate risk sharing. 出版者： Elsevier B.V 出版日期： 2014-01 出處： Journal of financial markets (Amsterdam, Netherlands), 2014-01, Vol.17, p.150-173 資源來源： Elsevier ScienceDirect Journals Complete 版權： 2012 Elsevier B.V. 識別號： ISSN: 1386-4181 識別號： EISSN: 1878-576X 識別號： DOI: 10.1016/j.finmar.2012.12.001
Appears in Collections:	[Department of Finance] journal & Dissertation

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