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- W4387617621 abstract "Abstract Illiquid assets require a return premium; illiquidity is also a limit‐to‐arbitrage. We find that Amihud's illiquidity premium is significantly higher among underpriced stocks than among overpriced stocks. Excluding the most mispriced stocks leads to a higher and more reliably estimated illiquidity premium. Amihud's illiquidity measure is positively correlated with overpricing, consistent with arbitrage asymmetry, while inconsistent with Lou and Shu's contention that the return premium associated with the Amihud measure reflects mispricing rather than compensation for illiquidity. Our results demonstrate that it is important to account for their role as limits‐to‐arbitrage when evaluating the pricing of illiquidity measures." @default.
- W4387617621 created "2023-10-14" @default.
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- W4387617621 date "2023-10-13" @default.
- W4387617621 modified "2023-10-15" @default.
- W4387617621 title "Arbitrage asymmetry, mispricing and the illiquidity premium" @default.
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- W4387617621 doi "https://doi.org/10.1111/eufm.12462" @default.
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