원문정보
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초록
영어
We propose a simple way to capture the multidimensionality of liquidity. Our analysis indicates that existing liquidity measures have considerable asset specific components, which justifies our new approach. Constructing a two-factor model with the market and liquidity factor proposed in this paper, we find that our two-factor model well explains the cross-section of stock returns in Korea during 1987~2010, describing the liquidity premium, size and value effects that the CAPM and Fama-French three-factor model fail to explain. Our results also show that the role of liquidity risk on expected stock returns is especially pronounced during the post-Asian financial crisis period.
목차
Abstract
1 Introduction
2 Existing liquidity measures and a new approach
2.1 Liquidity Measures
2.2 Characteristics of the existing liquidity measures
2.3 A New Approach
3 Data and empirical specification
3.1 The explanatory returns
3.2 The returns to be explained
4 Empirical results
4.1 Performance of portfolios sorted by liquidity measures
4.2 Performance of portfolios sorted by size and book-to-market ratios
4.3 Sub-sample period results
5 Conclusion
References
Table
Figure
1 Introduction
2 Existing liquidity measures and a new approach
2.1 Liquidity Measures
2.2 Characteristics of the existing liquidity measures
2.3 A New Approach
3 Data and empirical specification
3.1 The explanatory returns
3.2 The returns to be explained
4 Empirical results
4.1 Performance of portfolios sorted by liquidity measures
4.2 Performance of portfolios sorted by size and book-to-market ratios
4.3 Sub-sample period results
5 Conclusion
References
Table
Figure
저자정보
참고문헌
자료제공 : 네이버학술정보