Size and Liquidity Effects in Asia-Pacific Equity Markets
作者： Bruce Allen Hearn
DOI: 10.2139/SSRN.1535397
关键词: Finance 、 Business 、 Financial economics 、 Market liquidity 、 Equity (finance) 、 Cost of equity 、 Liquidity crisis 、 Asia pacific 、 Emerging markets 、 Capital asset pricing model
摘要: This study contrasts the effectiveness of capital asset pricing model (CAPM) against more recent augmented variants including size and book-to-market factors (Fama French, 1993) as well both liquidity Martinez et al (2005) in explaining average returns industry portfolios across a comprehensive sample Asia-Pacific equity markets. Size especially effects were found to be pervasive national which further supported through application Kalman filter time varying techniques. The evidence suggests that there are distinct similarities between determinants Chinese exchanges, namely Shanghai Shezen, markets Singapore Malaysia also have common their returns. Estimates cost industries reveals Japan is lowest followed by Australia, New Zealand, Singapore, Malaysia, Hong Kong South Korea. emerging Thailand, Indonesia Philippines together with exchanges highest values.
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