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https://hdl.handle.net/10356/7250
Title: | Illiquidity effects and asset pricing : evidence from Japan | Authors: | Fang, Jing | Keywords: | DRNTU::Business::Finance::Stock exchanges | Issue Date: | 2005 | Source: | Fang, J. (2005). Illiquidity effects and asset pricing : evidence from Japan. Doctoral thesis, Nanyang Technological University, Singapore. | Abstract: | This dissertation extends the work of Amihud (2002) and Acharya and Pedersen (2005) on the Japanese market. It investigates not only the cross-sectional and time-series effects of illiquidity on stock returns, but also asset pricing with liquidity risk through a liquidity-adjusted CAPM on the TSE stocks during 1976-1999. | URI: | https://hdl.handle.net/10356/7250 | DOI: | 10.32657/10356/7250 | Schools: | Nanyang Business School | Rights: | Nanyang Technological University | Fulltext Permission: | open | Fulltext Availability: | With Fulltext |
Appears in Collections: | NBS Theses |
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NBS-THESES_204.pdf | 569.39 kB | Adobe PDF | View/Open |
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