Liquidity and expected returns¶
Bekaert, G., Harvey, & Lundblad, C. (2007). Liquidity and expected returns: Lessons from emerging markets. Review of Financial Studies, 20(6), 1783-1831.
Cited by¶
1 citation across 1 artifact.
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Primes¶
- Liquidity
- The same logic applies to capital-market networks: Bekaert, Harvey, and Lundblad (2007) showed that in emerging equity markets, country-level liquidity is itself a priced risk factor and that market integration—essentially the strengthening of cross-jurisdictional ties—materially reduces required returns by raising the speed at which information and capital propagate across the network.
This sourceShows that country-level liquidity is a priced risk factor in emerging equity markets and that financial integration—the strengthening of cross-jurisdictional ties—reduces required returns by speeding cross-network propagation of information and capital.
- The same logic applies to capital-market networks: Bekaert, Harvey, and Lundblad (2007) showed that in emerging equity markets, country-level liquidity is itself a priced risk factor and that market integration—essentially the strengthening of cross-jurisdictional ties—materially reduces required returns by raising the speed at which information and capital propagate across the network.
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