Arbitrage asymmetry, mispricing and the illiquidity premium
研究发现Amihud非流动性溢价在低估股票中显著高于高估股票，排除最错误定价的股票后溢价更高且更稳定，表明非流动性作为套利限制在定价中不可忽视。
Abstract Illiquid assets require a return premium; illiquidity is also a limit‐to‐arbitrage. We find that Amihud's illiquidity premium is significantly higher among underpriced stocks than among overpriced stocks. Excluding the most mispriced stocks leads to a higher and more reliably estimated illiquidity premium. Amihud's illiquidity measure is positively correlated with overpricing, consistent with arbitrage asymmetry, while inconsistent with Lou and Shu's contention that the return premium associated with the Amihud measure reflects mispricing rather than compensation for illiquidity. Our results demonstrate that it is important to account for their role as limits‐to‐arbitrage when evaluating the pricing of illiquidity measures.