Liquidity and asset pricing: Evidence from the Hong Kong stock market

Journal of Banking and Finance

Volumn 35, Issue 9, 2011, Pages 2217-2230

  Lam, Keith S K ^a   Tam, Lewis H K ^a  

^a UNIVERSITY OF MACAU   (Macao)

Author keywords

Asset pricing; Factor model; Fama French three factors; Higher moment; Hong Kong stock market; Liquidity; Momentum

Indexed keywords

EID: 79960193693     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2011.01.015     Document Type: Article

References (39)

1. Acharya V.V., Pedersen L.H. Asset pricing with liquidity risk. Journal of Financial Economics 2005, 77:375-410.
2. Amihud Y. Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets 2002, 5:31-56.
3. Amihud Y., Mendelson H. Asset pricing and the bid-ask spread. Journal of Financial Economics 1986, 17:223-249.
4. Bekaert G., Harvey C., Lundblad C. Liquidity and expected returns: lessons from emerging markets. Review of Financial Studies 2007, 20:1783-1831.
5. Black F., Jensen M.C., Scholes M. The capital asset pricing model: some empirical findings. Studies in the Theory of Capital Markets 1972, Praeger, New York. M.C. Jensen (Ed.).
6. Brennan M.J., Chordia T., Subrahmanyam A. Alternative factor specifications, security characteristics and the cross-section of expected stock returns. Journal of Financial Economics 1998, 49:345-373.
7. Brennan M.J., Subrahmanyam A. Market microstructure and asset pricing: on the compensation for illiquidity in stock returns. Journal of Financial Economics 1996, 41:441-464.
8. Chan H., Faff R. Asset pricing and illiquidity premium. Financial Review 2005, 40:429-458.
9. Chen A.S., Fang S.C. Uniform testing and portfolio strategies for single and multifactor asset pricing models in the Pacific Basin markets. Applied Economics 2009, 41:1951-1963.
10. Chen J., Hong H., Stein J. Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices. Journal of Financial Economics 2001, 61:345-381.
11. Chordia T., Subrahmanyam A., Anshuman V.R. Trading activity and expected stock returns. Journal of Financial Economics 2001, 59:3-32.
12. Chui A., Wei K.C.J. Book-to-market, firm size and the turn-of-the-year effect: evidence from Pacific-Basin emerging markets. Pacific-Basin Finance Journal 1998, 6:275-293.
13. Chung S., Wei P. The relationship between bid-ask spreads and holding periods: the case of Chinese A and B shares. Global Finance Journal 2005, 15:239-249.
14. Daniel K., Titman S., Wei K.C.J. Explaining the cross-section of stock returns in Japan: factors or characteristics?. Journal of Finance 2001, 56:743-766.
15. Datar V.T., Naik N.Y., Radcliffe R. Liquidity and stock returns: an alternative test. Journal of Financial Markets 1998, 1:203-219.
16. Eleswarapu V.R., Reinganum M. The seasonal behavior of liquidity premium in asset pricing. Journal of Financial Economics 1993, 34:373-386.
17. Fama E.F., French K.R. The cross-section of expected stock returns. Journal of Finance 1992, 47:427-465.
18. Fama E.F., French K.R. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 1993, 33:3-56.
19. Gibbons M., Ross S., Shanken J. A test of the efficiency of a given portfolio. Econometrica 1989, 57:1121-1152.
20. Gibson R., Mougeot N. The pricing of systematic liquidity risk: empirical evidence from the US stock market. Journal of Banking and Finance 2004, 28:157-178.
21. Gu L., Huang D. Sales order backlogs and momentum profits. Journal of Banking and Finance 2010, 34:1564-1575.
22. Harvey C., Siddique A. Conditional skewness in asset pricing tests. Journal of Finance 2000, 55:1263-1295.
23. Ho C., Hung C. Investor sentiment as conditioning information in asset pricing. Journal of Banking and Finance 2009, 33:892-903.
24. Hwang Y., Min H., McDonald J.A., Kim H., Kim B. Using the credit spread as an option-risk factor: size and value effects in CAPM. Journal of Banking and Finance 2010, 34:2995-3009.
25. Jacoby G., Fowler D.J., Gottesman A.A. The capital asset pricing model and the liquidity effect: a theoretical approach. Journal of Financial Markets 2000, 3:69-81.
26. Jankowitsch R., Nashikkar A., Subrahmanyam M.G. Price dispersion in OTC markets: a new measure of liquidity. Journal of Banking and Finance 2011, 35:343-357.
27. Keene M., Peterson D. The important of liquidity as a factor in asset pricing. Journal of Financial Research 2007, 30:91-109.
28. Kraus A., Litzenberger R.H. Skewness preference and the valuation of risk assets. Journal of Finance 1976, 31:1085-1100.
29. Lagoarde-Segot T. Financial reforms and time-varying microstructures in emerging equity markets. Journal of Banking and Finance 2009, 33:1755-1769.
30. Lam K. The condition relation between beta and returns in the Hong Kong stock market. Applied Financial Economics 2001, 6:669-680.
31. L'Her J., Masmoudi T., Suret J. Evidence to support the four-factor pricing model from the Canadian stock market. Journal of International Financial Markets, Institutions and Money 2004, 14:313-328.
32. Limkriangkrai M., Durand R., Watson I. Is liquidity the missing link?. Accounting and Finance 2008, 48:829-845.
33. Liu W. A liquidity-augmented capital asset pricing model. Journal of Financial Economics 2006, 82:631-671.
34. Lo A., MacKinlay C. Data snooping biases in tests of financial asset pricing models. Review of Financial Studies 1990, 3:431-467.
35. Nguyen D., Mishra S., Prakash A., Ghosh D. Liquidity and asset pricing under the three-moment CAPM paradigm. Journal of Financial Research 2007, 30:379-398.
36. Pastor L., Stambaugh R.F. Liquidity risk and expected stock returns. Journal of Political Economy 2003, 111:642-685.
37. Pettengill G.N., Sundaram S., Mathur I. The conditional relation between beta and return. Journal of Financial and Quantitative Analysis 1995, 30:101-116.
38. Peterson M., Fialkowski D. Posted versus effective spreads: good prices or bad quotes?. Journal of Financial Economics 1994, 35:269-292.
39. Zhang C. A reexamination of the causes of time-varying stock return volatilities. Journal of Financial and Quantitative Analysis 2010, 45:663-684.