Rahim, Ruzita Abdul; Nor, Abu Hassan Shaari Mohd. - In: Asian Academy of Management Journal of Accounting and … 2 (2006) 2, pp. 43-60
The main objective of this paper is to evaluate the forecasting accuracy of two liquidity-based three-factor models, SiLiq and DiLiq, which have been developed as potential improvements on the Fama-French model. Using common stocks of 230 to 480 listed firms, this study constructs 27 test...