Is liquidity the missing link?
Durandet al.(2006a) argue that the Australian market is both internationallyintegrated and domestically segmented. They find that the US-based three-factormodel captures returns of the largest stocks in Australia (evidence of internationalintegration), but that it is unable to account for the return...
| Main Authors: | , , |
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| Format: | Journal Article |
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Wiley-Blackwell Publishing Asia
2008
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| Subjects: | |
| Online Access: | http://web.ebscohost.com/ehost/pdfviewer/pdfviewer?sid=6f866464-9bfc-44a8-be73-afc717aecfe2%40sessionmgr10&vid=2&hid=123 http://hdl.handle.net/20.500.11937/12973 |
| _version_ | 1848748224125337600 |
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| author | Limkriangkrai, M. Durand, Robert Watson, I. |
| author_facet | Limkriangkrai, M. Durand, Robert Watson, I. |
| author_sort | Limkriangkrai, M. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | Durandet al.(2006a) argue that the Australian market is both internationallyintegrated and domestically segmented. They find that the US-based three-factormodel captures returns of the largest stocks in Australia (evidence of internationalintegration), but that it is unable to account for the returns of the smallest stocks(evidence of domestic segmentation). This study resolves the puzzle left by Durandet al. (2006a). Incorporating a liquidity factor provides the missing link in theiranalysis: it results in a model that permits both the international integration of thelargest stocks and the model can account for the returns of the smallest stocks.Our analysis highlights the important role of liquidity in Australian asset pricing. |
| first_indexed | 2025-11-14T07:01:38Z |
| format | Journal Article |
| id | curtin-20.500.11937-12973 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:01:38Z |
| publishDate | 2008 |
| publisher | Wiley-Blackwell Publishing Asia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-129732017-02-28T01:52:34Z Is liquidity the missing link? Limkriangkrai, M. Durand, Robert Watson, I. Liquidity Three-factor model Asset pricing Durandet al.(2006a) argue that the Australian market is both internationallyintegrated and domestically segmented. They find that the US-based three-factormodel captures returns of the largest stocks in Australia (evidence of internationalintegration), but that it is unable to account for the returns of the smallest stocks(evidence of domestic segmentation). This study resolves the puzzle left by Durandet al. (2006a). Incorporating a liquidity factor provides the missing link in theiranalysis: it results in a model that permits both the international integration of thelargest stocks and the model can account for the returns of the smallest stocks.Our analysis highlights the important role of liquidity in Australian asset pricing. 2008 Journal Article http://hdl.handle.net/20.500.11937/12973 http://web.ebscohost.com/ehost/pdfviewer/pdfviewer?sid=6f866464-9bfc-44a8-be73-afc717aecfe2%40sessionmgr10&vid=2&hid=123 Wiley-Blackwell Publishing Asia restricted |
| spellingShingle | Liquidity Three-factor model Asset pricing Limkriangkrai, M. Durand, Robert Watson, I. Is liquidity the missing link? |
| title | Is liquidity the missing link? |
| title_full | Is liquidity the missing link? |
| title_fullStr | Is liquidity the missing link? |
| title_full_unstemmed | Is liquidity the missing link? |
| title_short | Is liquidity the missing link? |
| title_sort | is liquidity the missing link? |
| topic | Liquidity Three-factor model Asset pricing |
| url | http://web.ebscohost.com/ehost/pdfviewer/pdfviewer?sid=6f866464-9bfc-44a8-be73-afc717aecfe2%40sessionmgr10&vid=2&hid=123 http://hdl.handle.net/20.500.11937/12973 |