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Is Liquidity the Missing Link
| Content Provider | Semantic Scholar |
|---|---|
| Author | Limkriangkrai, Manapon Durand, Robert B. Watson, Iain |
| Copyright Year | 2008 |
| Abstract | Durand "et al." (2006a) argue that the Australian market is both internationally integrated and domestically segmented. They find that the US-based three-factor model captures returns of the largest stocks in Australia (evidence of international integration), but that it is unable to account for the returns of the smallest stocks (evidence of domestic segmentation). This study resolves the puzzle left by Durand "et al". (2006a). Incorporating a liquidity factor provides the missing link in their analysis: it results in a model that permits both the international integration of the largest stocks and the model can account for the returns of the smallest stocks. Our analysis highlights the important role of liquidity in Australian asset pricing. Copyright (c) 2008 The Authors. Journal compilation (c) 2008 AFAANZ. |
| Starting Page | 829 |
| Ending Page | 845 |
| Page Count | 17 |
| File Format | PDF HTM / HTML |
| DOI | 10.1111/j.1467-629x.2008.00260.x |
| Alternate Webpage(s) | http://msc.uwa.edu.au/business/__data/page/14482/Liquidity_-_final_-_for_Accounting_and_Finance.pdf |
| Alternate Webpage(s) | https://doi.org/10.1111/j.1467-629x.2008.00260.x |
| Volume Number | 48 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
