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Size and liquidity effects in Japanese regional stock markets

  • Hearn, Bruce
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    This paper assesses the effectiveness of traded turnover, Amihud (2002) and Liu (2006) metrics in measuring illiquidity, as used in a multifactor CAPM. The performance of this model is contrasted using a unique sample from Japan's regional stock exchanges, namely Sapporo, Nagoya, Fukuoka, Osaka and Tokyo. The evidence suggests that size effects are important in Tokyo, liquidity plays a more important role in the conditional modelling of returns particularly in the smaller markets of Sapporo, Fukuoka and Nagoya where costs of equity are highest.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0889158311000177
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    Article provided by Elsevier in its journal Journal of the Japanese and International Economies.

    Volume (Year): 25 (2011)
    Issue (Month): 2 (June)
    Pages: 157-181

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    Handle: RePEc:eee:jjieco:v:25:y:2011:i:2:p:157-181
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/622903

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