including size and book-to-market factors (Fama and French, 1993), liquidity (Liu, 2006) as well as both size and liquidity … factors of Martinez et al (2005) in explaining average returns in industry portfolios across Sub Saharan Africa (SSA …) excluding South Africa. This draws on a unique sample set of stocks from main board of Mauritius, local Namibian market …

This paper uses the illiquidity measure of Amihud (2002) in forming illiquidity estimates for South Africa, Kenya …

Tokyo, liquidity plays a more important role in the conditional modelling of returns particularly in the smaller markets of …

including size and book-to-market factors (Fama and French, 1993) as well as both size and liquidity factors of Martinez et al …. Size and especially liquidity effects were found to be pervasive across national industry portfolios which were further …

show that the larger tick size raised the cost for retail-sized liquidity demanding orders by almost fifty percent, and … raised profits to liquidity providers by forty percent. The bulk of the effects occurred for tick-constrained stocks for …