The Importance Of Liquidity As A Factor In Asset Pricing
AbstractWe 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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Bibliographic InfoArticle provided by Southern Finance Association & Southwestern Finance Association in its journal Journal of Financial Research.
Volume (Year): 30 (2007)
Issue (Month): 1 ()
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- 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, Fucape Business School, vol. 9(4), pages 27-50, October.
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- Márcio André Veras Machado & Márcia Reis Machado, 2014. "Liquidity and asset pricing:evidence from the Brazilian market," Brazilian Business Review, Fucape Business School, Fucape Business School, vol. 11(1), pages 69-89, January.
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- Malay K. Dey & Chaoyan Wang, 2008. "Return Spread and Liquidity on Chinese ADRs," NFI Working Papers 2008-WP-09, Indiana State University, Scott College of Business, Networks Financial Institute.
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