Work

Liquidity in asset pricing: New Australian evidence using low-frequency data

Year: 2013

Type: article

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.

Source: Australian Journal of Management

DOI: 10.1177/0312896213489143

Authors: Daniel Chai, Robert Faff, Philip Gharghori

Institutions: Monash University, The University of Queensland, University of Strathclyde

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2042880858

FWCI: 11.08

Cites: 61

Cited by: 39

Related to: 10