Reassessing the Illiquidity-Return Relationship: Evidence from Germany, the UK, and the U.S.
研究了1999至2022年德国、英国和美国股市中市场非流动性与超额收益的关系，发现非流动性仍是重要因素，尤其在区分稳定期和危机期时。
We investigate the relationship between market illiquidity and excess returns in the stock markets of Germany, the UK, and the U.S. from 1999 to 2022. Despite the growing criticism of this relationship, we show that illiquidity still is a significant factor, especially when we distinguish between stable and crisis periods. Unexpected illiquidity is negatively related to returns in all periods, while the effect of expected illiquidity differs over time. Our results are robust to various variations of Amihud's illiquidity measure.