Liquidity premium in equities
15 papers on liquidity premium in equities as a systematic trading strategy. Liquidity premium papers on single stocks and equity indices: 15 of the 19 in liquidity premium. 9 name a method, most often linear factor models (8). The most cited is Liquidity Premia and Transactions Costs (2005).
Papers152002–2026
Share of the family79 %15 of 19
| cited by | method | ||
|---|---|---|---|
| Liquidity Premia and Transactions Costs by Liu et al. | 44 | State-space models +1 | 2005 |
| Stock and Bond Pricing with Liquidity Risk by Goyenko | 27 | Linear factor models | 2005 |
| Liquidity Premium and a Two-Factor Model by Liu | 19 | Linear factor models | 2004 |
| The Diminishing Liquidity Premium by Ben-Rephael et al. | 16 | Linear factor models | 2008 |
| An Index-Based Measure of Liquidity by Chacko et al. | 10 | 2011 | |
| Does the Liquidity Effect Exist in the Brazilian Stock Market? by Machado and de Medeiros | 8 | Linear factor models | 2013 |
| Empirical Test of Fama French Three Factor Model and Illiquidity Premium in Indonesia by Amanda and Husodo | 6 | Linear factor models | 2014 |
| Aggregate Liquidity Premium and Cross-Sectional Returns: Evidence from China by Liao et al. | 5 | Linear factor models | 2020 |
| Modelling Feedback Effects with Stochastic Liquidity by Esser and Mönch | 5 | 2002 | |
| Modeling Feedback Effects with Stochastic Liquidity by Esser and Mönch | 4 | 2003 | |
| The Pricing of the Illiquidity Factor’s Conditional Risk with Time-varying Premium by Amihud and Noh | 3 | Linear factor models | 2016 |
| Stock Liquidity Premium With Stochastic Price Impact and Exogeous Trading Strategy by Stereńczak | 1 | 2018 | |
| Zero-Beta Decorrelation in Structural Liquidity Strategies: Theoretical Implications of a Decade-Spanning Empirical Anomaly by Boutgajouft | 0 | Linear factor models | 2026 |
| Illiquidity, Portfolio Constraints, and Diversification by Liu et al. | 0 | 2008 | |
| Liquidity Shocks and Stock Market Reactions by Bali et al. | 2013 |
Papers on liquidity premium in equities from other families
3 papers| filed under | ||
|---|---|---|
| Crowded Spaces and Anomalies by Lazo-Paz et al. | Market making | 2023 |
| A Comparison of the Efficacy of Liquidity, Momentum, Size and Book-to-Market Value Factors in Equity Pricing on a Heterogeneous Sample: Evidence from Asia by Hearn | Value investing | 2016 |
| Risk-Adjusting the Returns of Private Equity Using the CAPM and Multi-Factor Extensions by Buchner | Factor investing | 2015 |