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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- Dey, Malay K. & Wang, Chaoyan, 2012. "Return spread and liquidity: Evidence from Hong Kong ADRs," Research in International Business and Finance, Elsevier, vol. 26(2), pages 164-180.
- 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.
- Lischewski, Judith & Voronkova, Svitlana, 2012. "Size, value and liquidity. Do They Really Matter on an Emerging Stock Market?," Emerging Markets Review, Elsevier, vol. 13(1), pages 8-25.
- Frestad, Dennis, 2012. "Liquidity and dirty hedging in the Nordic electricity market," Energy Economics, Elsevier, vol. 34(5), pages 1341-1355.
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