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Title: Liquidity risk : empirical results from Tokyo Stock Exchange
Authors: Chen, Gaston Zhenghong
Lai, Looi Sing
Ng, Ming Hong
Keywords: DRNTU::Business::Finance::Stock exchanges
Issue Date: 2008
Abstract: Liquidity is examined as a risk factor affecting stock returns in the Japan stock market by using an extended version of the Fama-French characteristic-based model. We find evidence to show that liquidity risk is present and significant in this market, and is priced. Liquidity risk is correlated with other well-known risk factors like size, book-to-market and momentum, but is still individually important in explaining cross-sectional variations in price. The presence of non-zero regression intercepts indicates that there are still other factors unaccounted for which are not included in the model.
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)

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