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...
محفوظ في:
| المؤلفون الرئيسيون: | , , |
|---|---|
| مؤلفون آخرون: | |
| التنسيق: | Final Year Project |
| منشور في: |
2008
|
| الموضوعات: | |
| الوصول للمادة أونلاين: | http://hdl.handle.net/10356/9449 |
| الوسوم: |
إضافة وسم
لا توجد وسوم, كن أول من يضع وسما على هذه التسجيلة!
|
| الملخص: | 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. |
|---|