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. …

This study empirically investigates the low-frequency liquidity proxies that best measure liquidity in emerging markets … comparing various low-frequency liquidity proxies with high-frequency spread measures and price impact measures. We find that …

are applied. The role of liquidity with five-factor model is analyzed using turnover rate and Amihud (2002) illiquidity … cost as liquidity measures. Findings - Pakistan's equity offers substantial diversification benefits if added to developed … can invest in high yielding stocks with low liquidity risk owing to positive connection between liquidity and returns …

Purpose: The aim of this paper is to examine the role of liquidity in asset pricing in a tiny market, such as the … liquidity in asset pricing. Design/methodology/approach: The authors propose and compare two alternative implications of … liquidity in asset pricing: as a desirable characteristic of stocks and as a source of systematic risk. In contrast to prior …