Engineering

Liquidity risk

Stock (firearms)

Accounting liquidity

Economics

Market liquidity

Business

Mechanical engineering

Monetary economics

Financial economics

Liquidity premium

Liquidity crisis

Journal of Banking & Finance

We perform a comprehensive investigation of the illiquidity premium in international stock markets. We examine several established liquidity measures in 45 countries for the years 1990–2020. Our findings provide convincing evidence that liquidity pricing depends strongly on firm size. Although the premium is globally present, it exists only among microcap stocks, which have negligible economic significance. Outside the microcap universe, virtually no liquidity effect can be observed.

Liquidity and the cross-section of international stock returns