How is Liquidity Priced in Global Markets?
研究42个市场中非流动性如何与市场分割和投资限制相互作用，发现非投资股票因风险分担有限和流动性差而预期收益更高，并量化了发达和新兴市场的流动性溢价。
Abstract We develop a new global asset pricing model to study how illiquidity interacts with market segmentation and investability constraints in 42 markets. Noninvestable stocks that can only be held by foreign investors earn higher expected returns compared to freely investable stocks due to limited risk sharing and higher illiquidity. In addition to the world market premium, on average, developed and emerging market noninvestables earn an annual unspanned local market risk premium of $1.17\%$ and $9.04\%$, and a liquidity level premium of $1.06\%$ and $2.39\%$, respectively. These results obtained in a conditional setup are robust to the choice of liquidity measure.