An investigation into the role of liquidity in asset pricing: Australian evidence

Howard W. Chan*, Robert W. Faff

*Corresponding author for this work

Research output: Contribution to journalArticleResearchpeer-review

59 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)555-572
Number of pages18
JournalPacific Basin Finance Journal
Volume11
Issue number5
DOIs
Publication statusPublished - Nov 2003
Externally publishedYes

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