Liquidity risk : empirical results from Tokyo Stock Exchange
Liquidity is examined as a risk factor affecting stock returns in the Japan stock market by using an extended version of the Fama-French characteristic-based model. We find evidence to show that liquidity risk is present and significant in this market, and is priced. Liquidity risk is correlated wit...
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| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project |
| Published: |
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/9449 |
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| Institution: | Nanyang Technological University |
| Summary: | Liquidity is examined as a risk factor affecting stock returns in the Japan stock market by using an extended version of the Fama-French characteristic-based model. We find evidence to show that liquidity risk is present and significant in this market, and is priced. Liquidity risk is correlated with other well-known risk factors like size, book-to-market and momentum, but is still individually important in explaining cross-sectional variations in price. The presence of non-zero regression intercepts indicates that there are still other factors unaccounted for which are not included in the model. |
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