Korean J Financ Stud Search

CLOSE


Korean Journal of Financial Studies 2014;43(2):327-358.
Published online April 30, 2014.
Asymmetric Price Impacts and the Cross-Section of Stock Returns in the Korean Stock Market
Jangkoo Kang, Myounghwa Sim
한국 주식시장의 매도, 매수 유동성 비대칭에 대한 연구
강장구, 심명화
Abstract
We investigate the differential effects of buy- and sell-order price impacts on the cross-section of expected stock returns in the Korean stock market, and document the followings. First, sell-side impacts exceed buy-side impacts on average, and this difference in sell- and buy-order price impacts is more pronounced among small and value firms. Second, sell-order illiquidity is priced more significantly than buy-order illiquidity in the cross-section. Stocks with higher sell-order price impacts have higher expected returns than those with lower sell-order price impacts. In contrast, we find little evidence of a premium for buy-order illiquidity. These results indicate that illiquidity premium documented in the Korean stock market is largely due to sell-order illiquidity. Lastly, there appears to be a premium associated with the asymmetry between sell- and buy-order illiquidity. Stocks with greater differences in price impacts between sales and purchases significantly have higher expected returns. Investors may require additional compensation for the asymmetry between the sell- and buy-order illiquidity in the Korean stock market.
Key Words: 가격충격,위험요인,유동성 비대칭,유동성 프리미엄,자산가격결정,Asset Pricing,Asymmetry,Illiquidity Premium,Price Impacts,Risk Factor


ABOUT
BROWSE ARTICLES
EDITORIAL POLICY
FOR CONTRIBUTORS
Editorial Office
6F, Korea Financial Investment Association Building
143, Uisadangdaero, Yeongdeungpo-gu, Seoul 07332, Korea
Tel: +82-2-783-2615    Fax: +82-2-783-6539    E-mail: office@e-kjfs.org                

Copyright © 2021 by Korean Securities Association.

Developed in M2PI

Close layer
prev next