Size and liquidity effects in Japanese regional stock markets |
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Authors: | Bruce Hearn |
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Affiliation: | School of Management, University of Leicester, Leicester, UK |
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Abstract: | This paper assesses the effectiveness of traded turnover, Amihud (2002) and Liu (2006) metrics in measuring illiquidity, as used in a multifactor CAPM. The performance of this model is contrasted using a unique sample from Japan’s regional stock exchanges, namely Sapporo, Nagoya, Fukuoka, Osaka and Tokyo. The evidence suggests that size effects are important in Tokyo, liquidity plays a more important role in the conditional modelling of returns particularly in the smaller markets of Sapporo, Fukuoka and Nagoya where costs of equity are highest. |
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Keywords: | G11 G12 G15 O55 |
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