An investigation into the role of liquidity in asset pricing: Australian evidence
作者： Howard W. Chan , Robert W. Faff
DOI: 10.1016/S0927-538X(03)00003-9
关键词:
摘要: Employing a cross-sectional regression framework, we explore whether liquidity (as proxied by share turnover) is priced in an Australian setting, using monthly data over the period 1990 to 1999. We find that turnover negatively related stock returns and its importance persists even after controlling for book-to-market, size, beta momentum. This finding robust seasonality effects potential nonlinearities.
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