Illiquidity effects and asset pricing : evidence from Japan
Date of Issue2005
College of Business (Nanyang Business School)
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.
Nanyang Technological University