Journal of Financial Markets，September 2018

最大买卖价差

作者：Benjamin M.Blau(Utah State University)

Todd G.Griffith (Utah State University)

Ryan J.Whitby (Utah State University)

摘要：我们研究了一种新的非流动性度量方法所带来的回报溢价，该指标侧重于买卖差价分布的极端点。结果显示，具有较大最大买卖价差和价格影响的股票获得了统计和经济意义显著的回报溢价。这些结果对于一系列多因子投资组合测试以及控制均值差价和其他可观测的流动性指标的横截面回归是稳健的。这些研究结果表明，由于流动性的多面性，在确定非流动性回报溢价时，差价的分布很重要。

关键词：非流动性溢价;买卖差价;流动性风险

The maximum bid-ask spread

Benjamin M.Blau(Utah State University)；Todd G.Griffith (Utah State University)；Ryan J.Whitby (Utah State University)

ABSTRACT

We examine the return premium associated with a new measure of illiquidity that focuses on extreme points in the distribution of bid-ask spreads. Results show that stocks with larger maximum bid-ask spreads and price impacts command a return premium that is both statistically and economically significant. These results are robust to a series of multifactor portfolio tests and cross-sectional regressions controlling for mean spreads and other observable liquidity metrics. These findings suggest that the distribution of spreads matters when identifying illiquidity return premia due to the multi-faceted nature of liquidity.

Keywords: Illiquidity premium；Bid-ask spreads；Liquidity risk

原文链接：https://www.sciencedirect.com/science/article/abs/pii/S138641811630249X#!

翻译：黄涛