Liquidity risk : empirical results from Tokyo Stock Exchange
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...
Main Authors: | Chen, Gaston Zhenghong, Lai, Looi Sing, Ng, Ming Hong |
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Other Authors: | Low, Buen Sin |
Format: | Final Year Project (FYP) |
Published: |
2008
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Subjects: | |
Online Access: | http://hdl.handle.net/10356/9449 |
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