Finance and Financial Management Commons^™

Liquidity, Governance And Adverse Selection In Asset Pricing, Sascha Strobl

FIU Electronic Theses and Dissertations

A plethora of recent literature on asset pricing provides plenty of empirical evidence on the importance of liquidity, governance and adverse selection of equity on pricing of assets together with more traditional factors such as market beta and the Fama-French factors. However, literature has usually stressed that these factors are priced individually. In this dissertation we argue that these factors may be related to each other, hence not only individual but also joint tests of their significance is called for.

In the three related essays, we examine the liquidity premium in the context of the finer three-digit SIC industry classification, …