Liquidity risk : empirical results from Tokyo Stock Exchange

• Main Authors: Chen, Gaston Zhenghong, Lai, Looi Sing, Ng, Ming Hong
• Other Authors: Low, Buen Sin
• Format: Final Year Project
• Published: 2008
• Subjects: DRNTU::Business::Finance::Stock exchanges
• Online Access: http://hdl.handle.net/10356/9449
• Institution: Nanyang Technological University

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...