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제 목 2020년  제34권 제1호 Can Liquidity be a Risk Factor that Predicts Economic Growth?: The U.S. and Internation
작성자 관리자 작성일 2020.03.31 조회수 269
첨부파일 34-1-01 엄윤성 이관휘 왕수봉(1-20).pdf (490.96 KB)

Can Liquidity be a Risk Factor that Predicts Economic Growth?: The U.S. and International Evidence

Yunsung EomKuan-Hui LeeShu-Feng Wang

Abstract

 

We examine whether illiquidity premium, constructed as a difference in returns between the most illiquid and the least illiquid (or the most liquid) portfolios, predict future economic growth, measured by GDP growth rate. We find supporting evidence that the premium significantly predict future GDP growth rate in the U.S. even with various controls such as HML, SMB, dividend yield, industrial production, term premium, and default premium. Our empirical evidence provides new rational for why liquidity, a stock characteristic, is priced – since it has information about future real economy. However, contrast to the U.S. results, empirical evidence is mixed and generally weaker in the global sample of stocks from 35 countries.

Keywords : Liquidity, Liquidity Premium, Real Economy, GDP

JEL Classification : G15, G12, F63

 

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