The asset pricing effects of UK market liquidity shocks: evidence from tick data

Show simple item record Foran, Jason Hutchinson, Mark C. O'Sullivan, Niall 2014-03-13T14:24:17Z 2014-03-13T14:24:17Z 2014-03
dc.identifier.citation FORAN, J., HUTCHINSON, M. C. & O'SULLIVAN, N. 2014. The asset pricing effects of UK market liquidity shocks: Evidence from tick data. International Review of Financial Analysis, 32, 85-94. en
dc.identifier.volume 32 en
dc.identifier.startpage 85 en
dc.identifier.endpage 94 en
dc.identifier.issn 1057-5219
dc.identifier.doi 10.1016/j.irfa.2014.01.010
dc.description.abstract Using tick data covering a 12 year period including much of the recent financial crisis we provide an unprecedented examination of the relationship between liquidity and stock returns in the UK market. Previous research on liquidity using high frequency data omits the recent financial crisis and is focused on the US, which has a different market structure to the UK. We first construct several microstructure liquidity measures for FTSE All Share stocks, demonstrating that tick data reveal patterns in intra-day liquidity not observable with lower frequency daily data. Our asymptotic principal component analysis captures commonality in liquidity across stocks to construct systematic market liquidity factors. We find that cross-sectional differences in returns exist across portfolios sorted by liquidity risk. These are strongly robust to market, size and value risk. The inclusion of a momentum factor partially explains some of the liquidity premia but they remain statistically significant. However, during the crisis period a long liquidity risk strategy experiences significantly negative alphas. en
dc.description.sponsorship University College Cork (Strategic Research Fund) en
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.publisher Elsevier en
dc.rights Copyright © 2014 Elsevier Inc. All rights reserved. NOTICE: this is the author’s version of a work that was accepted for publication in International Review of Financial Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in International Review of Financial Analysis [Volume 32, March 2014, Pages 85–94] en
dc.subject Liquidity risk en
dc.subject Liquidity measures en
dc.subject Asset pricing en
dc.title The asset pricing effects of UK market liquidity shocks: evidence from tick data en
dc.type Article (peer-reviewed) en
dc.internal.authorcontactother Niall O'Sullivan, Economics, University College Cork, Cork, Ireland. +353-21-490-3000 Email: en
dc.internal.availability Full text available en 2014-01-13T11:45:57Z
dc.description.version Accepted Version en
dc.internal.rssid 241507744
dc.contributor.funder Irish Research Council for Humanities and Social Sciences en
dc.contributor.funder University College Cork en
dc.description.status Peer reviewed en
dc.identifier.journaltitle International Review of Financial Analysis en
dc.internal.copyrightchecked No. !!CORA!! Romeo AV + set statement en
dc.internal.licenseacceptance Yes en
dc.internal.IRISemailaddress en

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