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Liquidity in asset pricing: new Australian evidence using low-frequency data created by Daniel Chai, Robert Faff, and Philip Gharghori

By: Contributor(s): Material type: TextTextSeries: Australian journal of management ; Volume 38, number 2Los Angeles: Sage, 2013Content type:
  • text
Media type:
  • unmediated
Carrier type:
  • volume
ISSN:
  • 0312-8962
Subject(s): LOC classification:
  • HD31 AUS
Online resources: Abstract: 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.
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Holdings
Item type Current library Call number Vol info Status Notes Date due Barcode
Journal Article Journal Article Main Library - Special Collections HD31 AUS (Browse shelf(Opens below)) Vol. 38, no.2 (pages375-400) Not for loan For in house use only

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.

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