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Stocks Liquidity Premium in Emerging Markets

Student: Amir Ezberov

Supervisor: Victoria Rodina

Faculty: Faculty of Economic Sciences

Educational Programme: Strategic Corporate Finance (Master)

Final Grade: 7

Year of Graduation: 2017

In this work, we examine the asset-pricing role of liquidity in emerging markets particularly in the 4 major members of the BRIC block: Brazil, Russia, India and China. Analysis employs weekly data, covering the sample period from 2007 to 2016. The results for these developing markets are quite contradictive to the outcomes outlined for the developed markets, US one for instance. On one hand, the relationship between bid-ask spread and excess return showed that there is premium for illiquidity, however, on the other hand relationship between turnover and excess return showed that there is premium for liquidity, instead of illiquidity. These differences possess the interest for the researchers to study them more precisely.

Full text (added May 15, 2017)

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