Illiquidity effects and asset pricing : evidence from Japan
This dissertation extends the work of Amihud (2002) and Acharya and Pedersen (2005) on the Japanese market. It investigates not only the cross-sectional and time-series effects of illiquidity on stock returns, but also asset pricing with liquidity risk through a liquidity-adjusted CAPM on the TSE st...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Published: |
2008
|
| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/7250 |