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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| Format: | Theses and Dissertations |
| Published: |
2008
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| Online Access: | https://hdl.handle.net/10356/7250 |
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| Institution: | Nanyang Technological University |
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