and Titman (1993) with two Liu (2006) liquidity factors formed from 1 year rebalancing and 1 month rebalancing … further differentiation undertaken between sub samples formed for Japan only and Asia excluding Japan for period January 2000 … asset pricing model (CAPM) framework are ineffective in explaining the cross section of stock returns in the presence of …

factor premiums are present after accounting for liquidity constraints. Fourth, we check whether the factor premiums are …, but they disappear after accounting for transaction costs and liquidity. …

power than the CAPM to account for time series variation of stock returns. Our findings show that firm size and book … CAPM beta is not alone sufficient to explain the average expected stock returns in Bangladesh …

We investigate the relationship between expected returns and liquidity measures in Borsa Istanbul. To do so, we gather …

This study is conducted to shed more lights on the relationship between volatility and liquidity in the Indonesia Stock … volatility, measured by realized volatility, and liquidity, measured by high-low spread estimator. We found inconsistent … relationship between liquidity and volatility in the IDX. Further, we also found that the liquidity is important in the asset …

. Theory predicts this technological advantage should translate into market-wide liquidity co-variation, by transmitting … information-based liquidity shocks. Using a dataset of orders and trades from the French stock market, we investigate whether HFT … algorithms constitute a source of systematic liquidity risk. We demonstrate that, across securities, the liquidity offered by …