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SUMMARY:International Illiquidity
DTSTART:20160115T103000
DTEND:20160115T120000
DTSTAMP:20260407T194912Z
UID:d611faafce7ab57a8a4bfcc85b3d7aedf1d2e973a5a62b8b58a5727f
CATEGORIES:Conferences - Seminars
DESCRIPTION:Aytek MALKHOZOV (Bank for International Settlements\, Basel)\n
 Using a parsimonious international asset pricing model in which frictions 
 dislocate security prices from the levels implied by their risk\, we deriv
 e predictions regarding the effect of illiquidity on the cross-section of 
 international stock returns. Empirically\, we first construct daily proxie
 s for illiquidity for six different countries\,  which exhibit a strong c
 ommon component but also idiosyncratic variation. With these measures\, we
  document the following findings: First\, higher global illiquidity implie
 s a lower slope and higher intercept of the international security market 
 line. Second\, alphas and Sharpe ratios are increasing in local illiquidit
 y. Third\,  betting-against-beta (BAB) strategies in high illiquidity cou
 ntries outperform those in low illiquidity countries and fourth\, accounti
 ng for illiquidity improves on the performance of BAB strategies. 
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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