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|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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