TY - JOUR
T1 - An investigation into the role of liquidity in asset pricing: Australian evidence
AU - Chan, Howard W.
AU - Faff, Robert W.
N1 - Funding Information:
The authors are pleased to acknowledge the helpful comments of an anonymous referee, seminar participants at the universities of Edinburgh, Melbourne, Monash and Otago, as well as the expert assistance of Frida Lie, Ray Sammut and Ali Suleyman. Financial assistance provided by a Monash Faculty research grant and an RMIT Business research grant is gratefully acknowledged.
Copyright:
Copyright 2004 Elsevier Science B.V., Amsterdam. All rights reserved.
PY - 2003/11
Y1 - 2003/11
N2 - Employing a cross-sectional regression framework, we explore whether liquidity (as proxied by share turnover) is priced in an Australian setting, using monthly data over the period 1990 to 1999. We find that turnover is negatively related to stock returns and its importance persists even after controlling for book-to-market, size, stock beta and momentum. This finding is robust to seasonality effects and to potential nonlinearities.
AB - Employing a cross-sectional regression framework, we explore whether liquidity (as proxied by share turnover) is priced in an Australian setting, using monthly data over the period 1990 to 1999. We find that turnover is negatively related to stock returns and its importance persists even after controlling for book-to-market, size, stock beta and momentum. This finding is robust to seasonality effects and to potential nonlinearities.
UR - http://www.scopus.com/inward/record.url?scp=0141792724&partnerID=8YFLogxK
U2 - 10.1016/S0927-538X(03)00003-9
DO - 10.1016/S0927-538X(03)00003-9
M3 - Article
AN - SCOPUS:0141792724
SN - 0927-538X
VL - 11
SP - 555
EP - 572
JO - Pacific Basin Finance Journal
JF - Pacific Basin Finance Journal
IS - 5
ER -