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Size and liquidity effects in Japanese regional stock markets
journal contribution
posted on 2023-06-08, 11:02 authored by Bruce HearnThis paper assesses the effectiveness of traded turnover, Amihud (2002) and Liu (2006) metrics in measuring illiquidity, as used in a multifactor CAPM. The performance of this model is contrasted using a unique sample from Japan’s regional stock exchanges, namely Sapporo, Nagoya, Fukuoka, Osaka and Tokyo. The evidence suggests that size effects are important in Tokyo, liquidity plays a more important role in the conditional modelling of returns particularly in the smaller markets of Sapporo, Fukuoka and Nagoya where costs of equity are highest
History
Publication status
- Published
File Version
- Published version
Journal
Journal of Japanese and International EconomiesISSN
0889-1583Publisher
ElsevierExternal DOI
Issue
2Volume
25Page range
157-181Department affiliated with
- Business and Management Publications
Full text available
- No
Peer reviewed?
- Yes
Legacy Posted Date
2012-04-23First Compliant Deposit (FCD) Date
2012-02-24Usage metrics
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