Earticle

초록

영어

Using the Korean stock market data over the period from 1986 to 2010, we find that stock liquidity can play an important role in explaining the cross-section of stock returns. To capture as many aspects of liquidity as possible, we take three different liquidity measures from previous literature. Regardless of liquidity measures, our results indicate strong evidence of a liquidity premium, which cannot be accounted for by the CAPM and the Fama-French three-factor model. Constructing a two-factor asset pricing model with the market and liquidity risk, we find that our liquidity factor appears to capture market liquidity conditions during our sample periods, and that the two-factor model can explain asset pricing anomalies such as the size premium and the value premium, as well as the liquidity premium, much better than the CAPM and the Fama-French three-factor model.

목차

Abstract
 1. Introduction
 2. Liquidity measures and data
  2.1 Liquidity measures
  2.2 Data and research design
 3. Evidence of a liquidity premium
  3.1 Performances and characteristics of liquidity-classified portfolios
  3.2 Risk-adjusted performances of liquidity-classified portfolios
 4. A two-factor model with market and liquidity factors
  4.1 Construction of a two-factor model
  4.2 Performance of the two-factor model
 5. Conclusion
 References
 Table

저자

• Jangkoo Kang [ KAIST Business School ]
• Jeewon Jang [ KAIST Business School ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330