Earticle

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

키워드

저자

• Jeewon Jang [ College of Business, Korea Advanced Institute of Science and Technology (KAIST), Seoul, Korea ]
• Jangkoo Kang [ Graduate School of Finance & Accounting, College of Business, Korea Advanced Institute of Science and Technology (KAIST), Seoul, Korea ]
• Changjun Lee [ College of Business Administration, Hankuk University of Foreign Studies, 270 Imun-dong, Dongdaemun-Gu, Seoul, Korea ] Corresponding author

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간행물

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• 간행물명

  한국재무학회 학술대회

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• 수록기간

  2006~2024

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  KDC 325 DDC 330