Purpose: The positive illiquidity–return relationship (so-called liquidity premium) is a well-established pattern in international developed stock markets. The magnitude of liquidity premium should increase with market illiquidity. Existing studies, however, do not confirm this conjecture with regard to frontier markets. This may result from applying different approaches to the investors' holding period. The paper aims to identify the role of the holding period in shaping the illiquidity–return relationship in emerging and frontier stock markets, which are arguably considered illiquid.Design/methodology/approach: The authors utilise the data on stocks listed on fourteen exchanges in Central and Eastern Europe. The authors regress stock returns on liquidity measures variously transformed to reflect the clientele effect in a liquidity–return relationship.Findings: The authors show that the investors' holding period moderates the illiquidity–return relationship in CEE markets and also show that the liquidity premium in these markets is statistically and economically relevant.Practical implications: The findings may be of great interest to investors, companies and regulators. Investors and companies should take liquidity into account when making decisions; regulators should employ liquidity-enhancing actions to decrease companies' cost of capital and expand firms' investment opportunities, which will improve growth perspectives for the entire economy.Originality/value: These findings enrich the understanding of the role that the investors' holding period plays in the illiquidity–return relationship in CEE markets. To the best knowledge, this is the first study which investigates the effect of holding period on liquidity premium in emerging and frontier markets.

Purpose: This paper aims to empirically indicate the factors influencing stock liquidity premium (i.e. the relationship between liquidity and stock returns) in one of the leading European emerging markets, namely, the Polish one.Design/methodology/approach: Various firms’ characteristics and market states are analysed as potentially affecting liquidity premiums in the Polish stock market. Stock returns are regressed on liquidity measures and panel models are used. Liquidity premium has been estimated in various subsamples.Findings: The findings vividly contradict the common sense that liquidity premium raises during the periods of stress. Liquidity premium does not increase during bear markets, as investors lengthen the investment horizon when market liquidity decreases. Liquidity premium varies with the firm’s size, book-to-market value and stock risk, but these patterns seem to vanish during a bear market.Originality/value: This is one of the first empirical papers considering conditional stock liquidity premium in an emerging market. Using a unique methodological design it is presented that liquidity premium in emerging markets behaves differently than in developed markets.

The effect of stock liquidity on stock returns is well documented in the developed capital markets, while similar studies on emerging markets are still scarce and their results ambiguous. This paper aims to analyze the state-dependent variance of liquidity premium in the Polish stock market. The Polish capital market may serve as a benchmark for other emerging markets in the region of Central and Eastern Europe, hence the results of this research should be of great interest for investors and policy makers in Poland and other post-communist European countries. In the empirical, study a unique empirical methodology has been applied, which guarantees the uniqueness of the results obtained. The results obtained suggest that on the Polish stock market exists stock liquidity premium, which is statistically significant, but constitutes only a small fraction of returns. It also does not increase during periods of bearish market, what results from the lengthening of average holding period when market liquidity decreases.

Increasing environmental threats and accelerating effects of climate change serve to reinforce the perception of environmental safety not only as an ecological concern but also as a social and economic one. The extant research suggests that environmental factors have a significant impact on health and quality of life. However, the literature still lacks comprehensive analysis integrating objective environmental indicators with subjective measures of quality of life in a comparative and dynamic framework, particularly in European Union (EU) countries. The primary objective of this paper is to evaluate the environmental safety within European Union countries and its impact on self-perceived quality of life and health. The analysis integrates the multidimensional environmental indicators with subjective assessments of quality of life. To this end, the TOPSIS method is employed to construct a synthetic index for environmental safety (ES_Score). Moreover, pooled cross-sectional time-series regressions are utilised for formal analyses. The study encompasses data from 27 EU countries from 2018 to 2023. The findings of the study suggest that environmental safety exhibits considerable variation among EU countries yet remains relatively stable over time. This underscores the enduring nature of environmental advantages and deficits. Countries with superior environmental safety are also those which have been shown to exhibit a higher quality of life and better health. Proactive environmental investments and activities aimed at sustainable growth have the capacity to improve the quality of life of the population. However, some factors, such as high air emission intensity or excessive water abstraction may be challenging. The findings of this study demonstrate a significant relationship between environmental protection initiatives and social prosperity within European nations, thus offering valuable insights that can inform the development of public policy.