Journal of Financial Economics Vol. 34 No. 3 1993
The seasonal behavior of the liquidity premium in asset pricing
Abstract
This paper empirically investigates the seasonal behavior of the liquidity premium in asset pricing. The evidence suggests a strong seasonal component. In the 1961–1990 period, the liquidity premium is reliably positive only during the month of January. For the non-January months, one cannot detect a positive liquidity premium. The impact of the relative bid-ask spreads on asset pricing in non-January months cannot be reliably distinguished from zero. In contrast to Amihud and Mendelson (1986), however, our evidence suggests that the size effect is significant, even after controlling for spreads.
- DOI
- 10.1016/0304-405x(93)90032-7
- Volume
- 34
- Issue
- 3
- Pages
- 373-386
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref