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The Importance Of Liquidity As A Factor In Asset Pricing

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  • Marvin A. Keene
  • David R. Peterson
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    Abstract

    We employ the Fama-French time-series regression approach to examine liquidity as a risk factor affecting stock returns. Prior studies establish liquidity as an important consideration in investment decisions. Here, liquidity is found to be an important factor affecting portfolio returns, even after the effects of market, size, book-to-market equity, and momentum are considered. Nonzero intercepts remain, however, indicating continued missing risk factors. 2007 The Southern Finance Association and the Southwestern Finance Association.

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    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1475-6803.2007.00204.x
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    Bibliographic Info

    Article provided by Southern Finance Association & Southwestern Finance Association in its journal Journal of Financial Research.

    Volume (Year): 30 (2007)
    Issue (Month): 1 ()
    Pages: 91-109

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    Handle: RePEc:bla:jfnres:v:30:y:2007:i:1:p:91-109

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    Web page: http://www.blackwellpublishing.com/journal.asp?ref=0270-2592
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    Web page: http://www.southwesternfinance.org/
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    Web: http://www.blackwellpublishing.com/subs.asp?ref=0270-2592

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    Cited by:
    1. Márcio André Veras Machado & Otávio Ribeiro de Medeiros, 2012. "Does the liquidity effect exist in the brazilian stock market?," Brazilian Business Review, Fucape Business School, vol. 9(4), pages 27-50, October.

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