Stabsseminar fredag

Fredag 5. desember holder Institutt for foretaksøkonomi stabsseminar. Seminaret er ved Øyvind Norli fra University of Toronto, og temaet er Pervasive Liquidity Risk.

03.12.2003 - Stig Nøra

Tid: Fredag 5.desember klokken 12.15-13.45

Sted: Auditorium D

Abstract

While there is no equilibrium framework for defining liquidity risk per
se, several plausible arguments suggest that liquidity risk is pervasive
and thus may be priced. For example, market frictions increase the cost
of hedging strategies requiring frequent portfolio rebalancing. Also,
liquidity risk is likely to play a role whenever the market declines and
investors are prevented from hedging via short positions. Using monthly
return data from 1963-2000, and a broad set of test assets, we examine
six candidate factor representations of aggregate liquidity risk, and
test whether any one of these are priced. The results are interesting.
First, with the surprising exception of the recent measure proposed by
Pastor and Stambaugh (2001), liquidity factor shocks induce co-movements
in individual stocks' liquidity measure (commonality in liquidity). The
commonality is similar to that found in the extant literature (Chordia,
Roll, and Subrahmanyam (2000)), which so far has been restricted to a
single year of data. Second, again with the exception of the
Pastor-Stambaugh measure, the liquidity factors receive statistically
significant betas when added to the Fama-French model. Third,
maximum-likelihood estimates of the risk premium are significant for the
measure based on bid-ask spreads, contemporaneous turnover, as well as
the Pastor-Stambaugh measure, which exploits price reversals following
volume shocks. Overall, the simple-to-compute, "low-minus-high" turnover
factor first proposed by Eckbo and Norli (2000) appears to do as least
as well as the other factor measures.

Paper er tilgjengelig på

http://www.nhh.no/for/seminars/2003-fall/051203.pdf

Kontaktperson: Hans K. Hvide (59283)