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RISS 인기검색어
- 검색키워드
- 저자 : ( Sahn-wook Huh ) (검색결과 6 건)
- 무료
- 기관 내 무료
- 유료
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Illiquidity as a Priced Factor : Evidence from Intradaily Data
Sahn-Wook Huh 한국재무학회 2009 한국재무학회 학술대회 Vol.2009 No.05
A number of proxies for illiquidity have been proposed in the literature that relates trading costs to asset prices. However, some of the illiquidity measures provide equivocal relations to returns. Other measures conceal important dynamics underlying highfrequency data because they are constructed from daily or lower frequency databases. In this study, we adopt a direct and intuitive approach to estimating illiquidity. Specifically, we estimate a set of price-impact parameters based on four different models using the intradaily order flows processed via the Lee and Ready (1991) algorithm from the tickby- tick databases for NYSE stocks over the past 23 years. Our empirical results provide strong evidence that illiquidity measured by the price-impact parameters is priced in the cross-section of stock returns, even after controlling for risk factors, firm characteristics, and other illiquidity proxies prevalent in the literature. Consistently high levels of statistical significance also suggest that the price-impact parameters estimated using the intradaily order flows are more reliable proxies for illiquidity.
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Liquidity Spillovers: Evidence from Two-Step Spinoffs
( Yakov Amihud ),( Sahn-wook Huh ) 한국금융연구원 2022 금융연구 working paper Vol.2022 No.14
How does an idiosyncratic shock to the liquidity of a stock affect the liquidity and prices of related stocks? Utilizing the feature that the second stage of a two-step spinoff increases the float of an already-public firm, we document strong evidence that the enhanced liquidity of spun-off firms spills over to their industry peers after the spinoffs. These liquidity spillovers lead to value spillovers as well. The improved liquidity also induces greater pricing efficiency and larger institutional holdings in those stocks. The results lend support to the notion that the prices of spun-off firms provide additional public information about the related firms, thereby ameliorating information asymmetry in those firms.
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An Analysis of the Amihud Illiquidity Premium
Michael Brennan,Sahn-Wook Huh,Avanidhar Subrahmanyam 한국재무학회 2012 한국재무학회 학술대회 Vol.2012 No.05
This paper analyzes the Amihud (2002) measure of illiquidity and its role in assetpricing. It is shown first that the effect of illiquidity on asset pricing is clarified by using the turnover version of the Amihud measure and including firm size as a separate variable. When we decompose the Amihud measure into elements that correspond to positive (up) and negative (down) return days, we find that in general, only the down-day element commands a return premium. Further analysis of the upand down-day elements using order flows shows that a sidedness variable, which captures the tendency for orders to cluster on the sell side on down days, is associated with a more significant return premium than the other components of the Amihud measure.
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Theory-Based Illiquidity and Asset Pricing
Tarun Chordia,Sahn-Wook Huh,Avanidhar Subrahmanyam 한국재무학회 2007 한국재무학회 학술대회 Vol.2007 No.04
Many proxies of illiquidity have been used in the literature that relates illiquidity to asset prices. These proxies have been motivated from an empirical standpoint. In this study, we approach liquidity estimation from a theoretical perspective. Our method explicitly recognizes the analytic dependence of illiquidity on more primitive drivers such as trading activity and information asymmetry. More specifically, we estimate illiquidity using structural formulae for Kyle’s (1985) lambda for a comprehensive sample of NYSE/AMEX and NASDAQ stocks. The empirical results provide convincing evidence that theory-based estimates of illiquidity are priced in the cross-section of expected stock returns, even after accounting for risk factors, firm characteristics known to influence returns, and other illiquidity proxies prevalent in the literature.
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Dynamic Factors and Asset Pricing
Zhongzhi (Lawrence) He,Sahn-Wook Huh,Bong-Soo Lee 한국재무학회 2008 한국재무학회 학술대회 Vol.2008 No.05
In this study, we develop a dynamic factormodel that incorporates features of price dynamics across assets as well as through time. With the dynamic factors extracted via the Kalman filter, we formulate two testable asset-pricing models: the risk-adjusted pricing model (RAPM) and the bias-adjusted pricing model (BAPM). We then conduct asset-pricing tests in the in-sample context. In addition, we perform out-of-sample tests for competing models, presenting pair-wise comparisons of the accuracy in one-step-ahead forecasts. We provide evidence that the ex post dynamic factors alone do a better job than the Fama-French (FF, 1993) three factors both in-sample and out-ofsample. Our analyses also demonstrate that the ex ante factors are a key component in asset pricing and forecasting. By employing the ex ante factors together with ex post ones, the BAPM further improves upon the explanatory and predictive power achieved by the naive benchmark, the FF 3-factor model, and the RAPM. In particular, the BAPM can even explain and better forecast the momentum portfolio returns, which are mostly missed by the FF 3-factor model.
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Michael J. Brennan,Sahn-Wook Huh,Avanidhar Subrahmanyam 한국재무학회 2014 한국재무학회 학술대회 Vol.2014 No.05
We decompose PIN, the Probability of Informed Trading, into components that capture informed trading on good news (PIN G) and on bad news (PIN B), and provide new evidence that PIN and its components capture informed trading around quarterly earnings announcements. Our principal result concerns asymmetry in the pricing of the two PIN components: we find that the return premium for PIN B is large and highly significant, while that for PIN G is much smaller and is statistically insignificant.
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