Is Liquidity Risk Priced in Partially Segmented Markets?

Liquidity Risk and the Beta Premium

“…Pastor and Stambaugh (2003), Acharya and Pedersen (2005), Liu (2006), Sadka (2006), and Amihud and Noh (2020) show that high liquidity risk stocks command higher risk premium than low liquidity risk stocks. Bekaert et al (2007), Lee (2011), andChaieb et al (2018) highlight the role of liquidity risk in international stock markets. Hendershott et al (2020) show that illiquidity due to stock market closure affects the relation between beta and stock returns.…”