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

Howard W. Chan; Robert W. Faff

doi:10.1016/S0927-538X(03)00003-9

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 journal › Article › Research › peer-review

67 Citations (Scopus)

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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 language	English
Pages (from-to)	555-572
Number of pages	18
Journal	Pacific Basin Finance Journal
Volume	11
Issue number	5
DOIs	https://doi.org/10.1016/S0927-538X(03)00003-9
Publication status	Published - Nov 2003
Externally published	Yes

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10.1016/S0927-538X(03)00003-9

An investigation into the role of liquidity in asset pricing: Australian evidenceFinal published version, 79.6 KBLicence: CC BY-NC-ND

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title = "An investigation into the role of liquidity in asset pricing: Australian evidence",

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.",

author = "Chan, \{Howard W.\} and Faff, \{Robert W.\}",

note = "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.",

year = "2003",

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doi = "10.1016/S0927-538X(03)00003-9",

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PY - 2003/11

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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.

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

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