Deciphering Liquidity Risk on the Istanbul Stock Exchange

Preprint OPEN
Erten, Irem; Okay, Nesrin;
(2012)
  • Subject: Liquidity risk and asset pricing; stock returns; Liquidity-adjusted CAPM; illiquidity premium; Istanbul Stock Exchange
    • jel: jel:G12 | jel:C30

This paper examines the impact of illiquidity and liquidity risk on expected stock returns in the Turkish stock markets. Using daily data of the ISE-100 stock index from 2005 to 2012 and Amihud (2002) illiquidity measure, we test the liquidity-adjusted capital asset pri... View more
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