دانلود رایگان مقاله انگلیسی نقدشوندگی و هزینه ضمنی سرمایه متعلق به آن - الزویر 2017

Abstract

We investigate the impact of liquidity level and risks on the implied cost of equity capital for 14,808 stocks from 52 countries. We find that the implied cost of capital increases in the illiquidity level and in the co-variance between firm-level illiquidity and market illiquidity, but decreases both in the covariance between firm-level returns and market illiquidity and in the co-variance between firm-level illiquidity and market returns. Specifically, an increase from the 25th to the 75th percentile of the aggregate liquidity risk factor increases the cost of capital by 109 basis points. The evidence we report is robust to wide range of tests. We also observe that liquidity level and risks impact the implied cost of capital during crisis and no-crisis periods, but this relation is more pronounced during crisis periods for the most illiquid stocks.

6. CONCLUSION

Liquidity impacts the implied cost of equity capital because shareholders require an extra premium for holding illiquid or high liquidity-risk stocks. Traditionally, the focus was on liquidity level; however, more recent literature shifted attention to liquidity risk, defined by liquidity co-movements across securities, and shows that liquidity is a priced risk factor that systematically affects asset prices. This study contributes to this literature by providing evidence on the relationship between the different liquidity aspects (i.e., level, co-movements, and variability) and the implied cost of capital for 14,808 unique stocks from 52 countries. We document significant association between the implied cost of capital and liquidity level and comovements. The evidence we report is robust to alternative measures of the implied cost of capital, different estimates of liquidity, endogeneity considerations, noise in the analyst forecasts, sample composition, and additional control variables.