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An investigation into the role of liquidity in asset pricing: Australian evidence

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  • Chan, Howard W.
  • Faff, Robert W.

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Bibliographic Info

Article provided by Elsevier in its journal Pacific-Basin Finance Journal.

Volume (Year): 11 (2003)
Issue (Month): 5 (November)
Pages: 555-572

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Handle: RePEc:eee:pacfin:v:11:y:2003:i:5:p:555-572

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Web page: http://www.elsevier.com/locate/pacfin

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References

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  1. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
  2. Charles M.C. Lee & Bhaskaran Swaminathan, 2000. "Price Momentum and Trading Volume," Journal of Finance, American Finance Association, vol. 55(5), pages 2017-2069, October.
  3. Dimson, Elroy, 1979. "Risk measurement when shares are subject to infrequent trading," Journal of Financial Economics, Elsevier, vol. 7(2), pages 197-226, June.
  4. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
  5. William L. Beedles & Peter Dodd & R. R. Officer, 1988. "Regularities in Australian Share Returns," Australian Journal of Management, Australian School of Business, vol. 13(1), pages 1-29, June.
  6. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-36, May-June.
  7. Chordia, Tarun & Subrahmanyam, Avanidhar & Anshuman, V. Ravi, 2001. "Trading activity and expected stock returns," Journal of Financial Economics, Elsevier, vol. 59(1), pages 3-32, January.
  8. Horowitz, Joel L. & Loughran, Tim & Savin, N. E., 2000. "Three analyses of the firm size premium," Journal of Empirical Finance, Elsevier, vol. 7(2), pages 143-153, August.
  9. Datar, Vinay T. & Y. Naik, Narayan & Radcliffe, Robert, 1998. "Liquidity and stock returns: An alternative test," Journal of Financial Markets, Elsevier, vol. 1(2), pages 203-219, August.
  10. Ravi Jagannathan & Zhenyu Wang, 1996. "The conditional CAPM and the cross-section of expected returns," Staff Report 208, Federal Reserve Bank of Minneapolis.
  11. K. Rouwenhorst, 1998. "Local Return Factors and Turnover in Emerging Stock Markets," Yale School of Management Working Papers ysm97, Yale School of Management, revised 01 Mar 2001.
  12. Brennan, Michael J. & Subrahmanyam, Avanidhar, 1996. "Market microstructure and asset pricing: On the compensation for illiquidity in stock returns," Journal of Financial Economics, Elsevier, vol. 41(3), pages 441-464, July.
  13. Brennan, Michael J. & Chordia, Tarun & Subrahmanyam, Avanidhar, 1998. "Alternative factor specifications, security characteristics, and the cross-section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 49(3), pages 345-373, September.
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Citations

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Cited by:
  1. Roslily Ramlee & Ruhani Ali, 2012. "Liquidity, Initial Public Offering (IPO) Long-Term Return and Government Ownership Evidence from Bursa Malaysia IPO Stocks," Asian Academy of Management Journal of Accounting and Finance, Penerbit Universiti Sains Malaysia, vol. 8(Supp. 1), pages 39-66.
  2. Wang, Yuenan & Di Iorio, Amalia, 2007. "The cross section of expected stock returns in the Chinese A-share market," Global Finance Journal, Elsevier, vol. 17(3), pages 335-349, 03.
  3. Vo, Xuan Vinh & Batten, Jonathan, 2010. "An Empirical Investigation of Liquidity and Stock Returns Relationship in Vietnam Stock Markets during Financial Crisis," MPRA Paper 29862, University Library of Munich, Germany, revised 10 Jan 2011.
  4. Chai, Daniel & Faff, Robert & Gharghori, Philip, 2010. "New evidence on the relation between stock liquidity and measures of trading activity," International Review of Financial Analysis, Elsevier, vol. 19(3), pages 181-192, June.
  5. Nguyen, Nhut H. & Lo, Ka Hei, 2013. "Asset returns and liquidity effects: Evidence from a developed but small market," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1175-1190.
  6. Gharghori, Philip & See, Quin & Veeraraghavan, Madhu, 2011. "Difference of opinion and the cross-section of equity returns: Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 19(4), pages 435-446, September.
  7. Chan, Howard W.H. & Brown, Rob & Ho, Yew Kee, 2006. "Initiation of brokers' recommendations, market predictors and stock returns," Journal of Multinational Financial Management, Elsevier, vol. 16(3), pages 213-231, July.
  8. Gordon, Narelle & Watts, Edward & Wu, Qiongbing, 2014. "Information attributes, information asymmetry and industry sector returns," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 156-175.
  9. 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.
  10. Gharghori, Philip & Chan, Howard & Faff, Robert, 2009. "Default risk and equity returns: Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 17(5), pages 580-593, November.
  11. Marshall, Ben R., 2006. "Liquidity and stock returns: Evidence from a pure order-driven market using a new liquidity proxy," International Review of Financial Analysis, Elsevier, vol. 15(1), pages 21-38.

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