Liquidity in asset pricing: new Australian evidence using low-frequency data
Chai, Daniel
Liquidity in asset pricing: new Australian evidence using low-frequency data created by Daniel Chai, Robert Faff, and Philip Gharghori - Australian journal of management Volume 38, number 2 .
Employing a new proxy for liquidity, this paper examines its impact on stock returns in the context of the Fama-French framework. We augment the Carhart four-factor model with a liquidity factor in our asset pricing tests. Using an extensive dataset drawn from the Australian equities market, we find that liquidity explains a portion of the common variation in stock returns even after controlling for size, book-to-market and momentum. However, our findings suggest that the liquidity factor only adds marginal explanatory power to contemporary asset pricing models.
0312-8962
Asset pricing--Fama-French model--Australian evidence
HD31 AUS
Liquidity in asset pricing: new Australian evidence using low-frequency data created by Daniel Chai, Robert Faff, and Philip Gharghori - Australian journal of management Volume 38, number 2 .
Employing a new proxy for liquidity, this paper examines its impact on stock returns in the context of the Fama-French framework. We augment the Carhart four-factor model with a liquidity factor in our asset pricing tests. Using an extensive dataset drawn from the Australian equities market, we find that liquidity explains a portion of the common variation in stock returns even after controlling for size, book-to-market and momentum. However, our findings suggest that the liquidity factor only adds marginal explanatory power to contemporary asset pricing models.
0312-8962
Asset pricing--Fama-French model--Australian evidence
HD31 AUS