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Liquidity and asset pricing: Evidence from the Hong Kong stock market
Lam K.S.K.; Tam L.H.K.
2011
Source PublicationJournal of Banking and Finance
ISSN3784266
Volume35Issue:9Pages:2217
Abstract

This study investigates the role of liquidity in pricing stock returns in the Hong Kong stock market. Our results show that liquidity is an important factor for pricing returns in Hong Kong after taking well-documented asset pricing factors into consideration. The results are robust to adding portfolio residuals and higher moment factor in the factor models. The results are also robust to seasonality, and conditional-market tests. We also compare alternative factor models and find that the liquidity four-factor model (market excess return, size, book-to-market ratio, and liquidity) is the best model to explain stock returns in the Hong Kong stock market, while the momentum factor is not found to be priced.

KeywordAsset Pricing Factor Model Fama French Three Factors Higher Moment Hong Kong Stock Market Liquidity Momentum
DOI10.1016/j.jbankfin.2011.01.015
URLView the original
Indexed BySSCI ; SSCI
Language英语
WOS Research AreaBusiness & Economics
WOS SubjectBusiness, Finance ; Economics
WOS IDWOS:000293310700003
The Source to ArticleScopus
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Citation statistics
Cited Times [WOS]:53   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionDEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
AffiliationUniv Macau, Fac Business Adm, Dept Finance & Business Econ, Av Padre Tomas Pereira, Sj Taipa, Peoples R China.
First Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Lam K.S.K.,Tam L.H.K.. Liquidity and asset pricing: Evidence from the Hong Kong stock market[J]. Journal of Banking and Finance,2011,35(9):2217.
APA Lam K.S.K.,&Tam L.H.K..(2011).Liquidity and asset pricing: Evidence from the Hong Kong stock market.Journal of Banking and Finance,35(9),2217.
MLA Lam K.S.K.,et al."Liquidity and asset pricing: Evidence from the Hong Kong stock market".Journal of Banking and Finance 35.9(2011):2217.
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