Is liquidity the missing link?

Limkriangkrai, Manapon, Durand, Robert B. and Watson, Iain (2008) Is liquidity the missing link?. Accounting and Finance, 48 5: 829-845. doi:10.1111/j.1467-629x.2008.00260.x


Author Limkriangkrai, Manapon
Durand, Robert B.
Watson, Iain
Title Is liquidity the missing link?
Journal name Accounting and Finance   Check publisher's open access policy
ISSN 0810-5391
Publication date 2008-12
Sub-type Article (original research)
DOI 10.1111/j.1467-629x.2008.00260.x
Volume 48
Issue 5
Start page 829
End page 845
Total pages 17
Place of publication Australia
Publisher Wiley-Blackwell Publishing Asia
Language eng
Formatted abstract
Durand et al. (2006a) argue that the Australian market is both internationally integrated and domestically segmented. They find that the US-based three-factor model captures returns of the largest stocks in Australia (evidence of international integration), but that it is unable to account for the returns of the smallest stocks (evidence of domestic segmentation). This study resolves the puzzle left by Durand et al. (2006a). Incorporating a liquidity factor provides the missing link in their analysis: it results in a model that permits both the international integration of the largest stocks and the model can account for the returns of the smallest stocks. Our analysis highlights the important role of liquidity in Australian asset pricing. © 2008 The Authors.
Keyword Asset pricing
Liquidity
Three-factor model
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status Unknown

Document type: Journal Article
Sub-type: Article (original research)
Collection: UQ Business School Publications
 
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Citation counts: TR Web of Science Citation Count  Cited 9 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 11 times in Scopus Article | Citations
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Created: Thu, 06 Oct 2011, 12:30:43 EST by Karen Morgan on behalf of UQ Business School