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- W2016318966 abstract "The recent global financial crisis demonstrates that market liquidity is a prominent systematic risk globally. We find that local liquidity risk, in addition to the local market, value and size factors, demands a systematic premium across stocks in 11 developed markets. This local pricing premium is smaller in countries where the country-level corporate boards are more effective and where there are less insider trading activities. We also discover that global liquidity risk is a significant pricing factor across all developed country market portfolios after controlling for global market, value, and size factors. The contribution of this risk to the return on a country market portfolio is economically and statistically significant within and across regions." @default.
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- W2016318966 date "2012-01-01" @default.
- W2016318966 modified "2023-10-16" @default.
- W2016318966 title "Liquidity Risk and Stock Returns Around the World" @default.
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- W2016318966 doi "https://doi.org/10.2139/ssrn.652961" @default.
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