Testing seasonality in the liquidity-return relation: Japanese evidence
We study liquidity (share turnover) effects of stock returns and their seasonality using Japanese data. We find a significant and negative turnover/return relation. Moreover, we find that the liquidity effect is not impacted by either January or June seasonality. There is weak evidence that stocks with higher liquidity risk have on average higher rates of return for non-June months.
Year of publication: |
2010
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Authors: | Chang, Yuk Ying ; Faff, Robert ; Hwang, Chuan-Yang |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 17.2010, 10, p. 951-954
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Publisher: |
Taylor & Francis Journals |
Saved in:
freely available
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