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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2008
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| Subjects: | |
| 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 |