Please use this identifier to cite or link to this item: 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: http://hdl.handle.net/10356/7250
Rights: Nanyang Technological University
Fulltext Permission: open
Fulltext Availability: With Fulltext
Appears in Collections:NBS Theses

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