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

• 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
• Institution: Singapore Management University

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...