The role of illiquidity risk factor in asset pricing models: Malaysian evidence
This paper examines the role of illiquidity risk factor in asset Pricing through two variants of liquidity-based three-factor models, referred as SiLiq and DiLiq, which are developed in the context of Fama-French model. The sample comprises 230 to 480 firms which stocks are listed on Bursa Malaysia...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2007
|
| Online Access: | http://journalarticle.ukm.my/8075/1/834-1591-1-SM.pdf http://journalarticle.ukm.my/8075/ http://ejournal.ukm.my/pengurusan/index |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Universiti Kebangsaan Malaysia |
| Language: | English |