Illiquidity effects and asset pricing : evidence from Japan

This dissertation extends the work of Amihud (2002) and Acharya and Pedersen (2005) on the Japanese market. It investigates not only the cross-sectional and time-series effects of illiquidity on stock returns, but also asset pricing with liquidity risk through a liquidity-adjusted CAPM on the TSE st...

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Bibliographic Details
Main Author:	Fang, Jing
Other Authors:	Sun Qian
Format:	Theses and Dissertations
Published:	2008
Subjects:	DRNTU::Business::Finance::Stock exchanges
Online Access:	https://hdl.handle.net/10356/7250
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Institution:	Nanyang Technological University

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spelling	sg-ntu-dr.10356-72502024-01-12T10:10:02Z Illiquidity effects and asset pricing : evidence from Japan Fang, Jing Sun Qian Nanyang Business School DRNTU::Business::Finance::Stock exchanges This dissertation extends the work of Amihud (2002) and Acharya and Pedersen (2005) on the Japanese market. It investigates not only the cross-sectional and time-series effects of illiquidity on stock returns, but also asset pricing with liquidity risk through a liquidity-adjusted CAPM on the TSE stocks during 1976-1999. DOCTOR OF PHILOSOPHY (NBS) 2008-09-18T07:42:16Z 2008-09-18T07:42:16Z 2005 2005 Thesis Fang, J. (2005). Illiquidity effects and asset pricing : evidence from Japan. Doctoral thesis, Nanyang Technological University, Singapore. https://hdl.handle.net/10356/7250 10.32657/10356/7250 Nanyang Technological University application/pdf
institution	Nanyang Technological University
building	NTU Library
continent	Asia
country	Singapore Singapore
content_provider	NTU Library
collection	DR-NTU
topic	DRNTU::Business::Finance::Stock exchanges
spellingShingle	DRNTU::Business::Finance::Stock exchanges Fang, Jing Illiquidity effects and asset pricing : evidence from Japan
description	This dissertation extends the work of Amihud (2002) and Acharya and Pedersen (2005) on the Japanese market. It investigates not only the cross-sectional and time-series effects of illiquidity on stock returns, but also asset pricing with liquidity risk through a liquidity-adjusted CAPM on the TSE stocks during 1976-1999.
author2	Sun Qian
author_facet	Sun Qian Fang, Jing
format	Theses and Dissertations
author	Fang, Jing
author_sort	Fang, Jing
title	Illiquidity effects and asset pricing : evidence from Japan
title_short	Illiquidity effects and asset pricing : evidence from Japan
title_full	Illiquidity effects and asset pricing : evidence from Japan
title_fullStr	Illiquidity effects and asset pricing : evidence from Japan
title_full_unstemmed	Illiquidity effects and asset pricing : evidence from Japan
title_sort	illiquidity effects and asset pricing : evidence from japan
publishDate	2008
url	https://hdl.handle.net/10356/7250
_version_	1789482902336045056

Illiquidity effects and asset pricing : evidence from Japan

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