Article ID Journal Published Year Pages File Type
965006 Journal of the Japanese and International Economies 2011 25 Pages PDF
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.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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