A tale of two prices: Liquidity and asset prices in multiple markets

A tale of two prices: Liquidity and asset prices in multiple markets

This paper investigates the liquidity effect in asset pricing by studying the liquidity-premium relationship of an American depositary receipt (ADR) and its underlying share. Using the [Amihud, Yakov, 2002. Illiquidity and stock returns: cross-section and time series effects. Journal of Financial Ma...

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Bibliographic Details
Main Authors: CHAN, Justin Sai Pang, HONG, Dong, Subrahmanyam, Marti G.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2008
Subjects:
American depositary receipts (ADRs)
Dual listing
Liquidity
Turnover
Premium
Asset pricing
Finance and Financial Management
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/4573
https://ink.library.smu.edu.sg/context/lkcsb_research/article/5572/viewcontent/SSRN_id685841.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/lkcsb_research/4573
https://ink.library.smu.edu.sg/context/lkcsb_research/article/5572/viewcontent/SSRN_id685841.pdf

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