THE IMPORTANCE OF LIQUIDITY AS A FACTOR IN ASSET PRICING

@inproceedings{Keene2007THEIO,
  title={THE IMPORTANCE OF LIQUIDITY AS A FACTOR IN ASSET PRICING},
  author={Marvin A. Keene and David R. Peterson},
  year={2007}
}
We employ the Fama-French time-series regression approach to examine liquidity as a risk factor affecting stock returns. Prior studies establish liquidity as an important consideration in investment decisions. Here, liquidity is found to be an important factor affecting portfolio returns, even after the effects of market, size, book-to-market equity, and momentum are considered. Nonzero intercepts remain, however, indicating continued missing risk factors. 2007 The Southern Finance Association… CONTINUE READING

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Liquidity and asset pricing: An empirical investigation of Chinese Stock Market

  • 2014 International Conference on Management Science & Engineering 21th Annual Conference Proceedings
  • 2014
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