学术研讨会

主题：The Illiquidity Premium: International Evidence

主讲人介绍：康文津, 加州洛杉矶大学管理学博士,新加坡国立大学商学院助教授。康博士的研究方向包括金融资产定价实证,市场流动性等多个领域。康博士的研究成果发表在Journal of Finance, Journal of Financial Markets, Financial Review等多个国际期刊。康博士同时为Review of Financial Studies, Journal of Financial Markets, Financial Management等多个国际期刊担任匿名审稿人。

时间：2012年12月20日 星期四16:30-18:00

地点：学术会堂706

主办单位：中国金融发展研究院

CAFD SEMINAR SERIES 115

TOPIC: The Illiquidity Premium: International Evidence

ABSTRACT: This paper examines the illiquidity premium in stock markets in 45 countries. The premium is defined as the excess return on illiquid stocks minus liquid stocks across volatility portfolios. The average monthly illiquidity premium is 0.95% (0.44%) for equally-weighted (value-weighted) portfolio returns. After controlling for common global and regional risk factors, the monthly alpha from this liquidity-based strategy remains highly significant. The premium is much higher for emerging markets than it is for developed ones, and it is lower in countries with better information disclosure and legal/governance rules. We document significant comovement in the country-level illiquidity premium with both the global and regional average illiquidity premiums.

SPEAKER: Wenjin Kang, Assistant Professor, School of Business, National University of Singapore. Mr. Kang obtained his Ph.D. in Management from University of California at Los Angel. His research interests include Empirical Asset Pricing and Liquidity in Financial Markets. Dr. Kang has published papers at Journal of Financial, Journal of Financial Markets, Financial Review etc. Dr. Kang serves as an anonymous referee for Review of Financial Studies, Financial Management and Journal of Financial Markets etc.

Time: December 20, 2012, Thursday, 16:30-18:00

Place: Room706, Academic Hall

Organizer: Chinese Academy of Finance and Development

文章链接：zgjrfzyjy/docs/2012-12/20121214152710936399.pdf

康文津简历：zgjrfzyjy/docs/2012-12/20121214152720498472.pdf