June 9 at 4.40 pm - Research seminar by Yakov Amihud (New York University) "The Pricing of the Illiquidity Factor's Systematic Risk"

Venue: Shabolovka st. 26, Room 3211

On Thursday, June 9 at 4.40 pm International College of Economics and Finance will hold the Research Seminar.
Speaker: Yakov Amihud (New York University) <Curriculum Vitae>
Theme: "The Pricing of the Illiquidity Factor's Systematic Risk" 
Venue: Shabolovka st. 26, Room 3211

Abstract: This paper presents a liquidity factor IML, the return on illiquid-minus-liquid stock portfolios. The IML, adjusted for the common risk factors, measures the illiquidity premium whose annual alpha is about 4% over the period 1950-2012. I then test whether the systematic risk (β) of IML is priced in a multi-factor CAPM. The model allows for a conditional β of IML that rises with observable funding illiquidity and adverse market conditions. The conditional IML β is positively and significantly priced, and remains so after controlling for the beta of illiquidity shocks.

Everyone interested is welcome to attend!

See the web-page of the seminar < https://icef.hse.ru/en/announcements/184593616.html >
Pass can be ordered by:
tel. +7 (495) 772-95-90 ext. 26090
e-mail: vzheleznov@hse.ru
contact: Slava Zheleznov