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Home » Our latest news » Webinar » Webinar: Yakov Amihud (New York University)

Webinar: Yakov Amihud (New York University)

20 August 2021 Filed Under: Webinar

Professor Yakov Amihud will be presenting his paper ‘Illiquidity and Stock Returns: A Revisit’.

Introduction

In 2002 Yakov Amihud published the paper “Illiquidity and stock returns: cross-section and time-series effect”. He reviewed and extended his paper in 2019. It presents a return factor of illiquid-minus-liquid stocks (IML), which provides a time-series of the illiquidity premium. The risk-adjusted expected return on IML is positive and significant in the last 63 years and while it is lower in the period that follows the 2002 paper it remains positive and significant. IML also has the predicted response to market illiquidity shocks. In particular, the relation between illiquidity shocks and stock returns is more negative for illiquid stocks even after the study period.

About the presenter

Yakov Amihud is Ira Rennert Professor of Entrepreneurial Finance at the Stern School of Business, New York University. He is the coauthor of Market Liquidity: Asset Pricing, Risk and Crises (Cambridge University Press, 2013). His research publications, which gathered over 33,000 Google-Scholar citations, focused on the effects of asset liquidity on value and expected return, and on the design and evaluation of securities markets’ trading methods. He has published more than one hundred research articles in professional journals and in books. His research also includes the evaluation of corporate financial policies, mergers and acquisitions, initial public offerings, objectives of corporate managers, dividend policy, and law and finance.

Title: “Illiquidity and stock returns: A revisit”
Speaker: Professor Yakov Amihud, New York University
Date: 14 September 2021
Time: 16.00h CET

To register: click here

The webinar will be accessible to Inquire Europe and Inquire UK members, as well as to other interested members of the public.

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  • About
    • About Inquire Europe
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    • CQA
  • News
  • Membership
    • Membership
    • Our members
    • Membership fee
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    • Guest program
  • Seminars / Webinars
    • Seminars / Webinars
    • Future seminars
    • Previous seminars
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    • Research Published in Top Finance Journals
    • Finished research projects
    • Projects under development
  • Awards
  • Contact