An investigation into the role of liquidity in asset pricing: Australian evidence |
| |
| Affiliation: | 1. Image Processing Laboratory, Universitat de València, 46980 Paterna, València, Spain;2. Signal Processing Group, Universidad Carlos III de Madrid, Spain;3. IMT Lille Douai CRISTAL (UMR 9189), Villeneuve d''Ascq, France;1. School of Economics, University of Coimbra, Avenida Doutor Dias da Silva 165, 3004-512, Coimbra, Portugal;2. Institute of Systems and Robotics, Coimbra;3. GEMF, Group for Monetary and Financial Studies, University of Coimbra, Portugal;1. State Key Laboratory of Soil and Sustainable Agriculture, Institute of Soil Science, Chinese Academy of Sciences, 71 East Beijing Road, Nanjing 210008, China;2. Dongtai Institute of Tidal Flat Research, Nanjing Branch of the Chinese Academy of Sciences, Dongtai 224200, China |
| |
| Abstract: | Employing a cross-sectional regression framework, we explore whether liquidity (as proxied by share turnover) is priced in an Australian setting, using monthly data over the period 1990 to 1999. We find that turnover is negatively related to stock returns and its importance persists even after controlling for book-to-market, size, stock beta and momentum. This finding is robust to seasonality effects and to potential nonlinearities. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
