The role of illiquidity risk factor in asset pricing models: Malaysian evidence

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The role of illiquidity risk factor in asset pricing models: Malaysian evidence

This paper examines the role of illiquidity risk factor in asset Pricing through two variants of liquidity-based three-factor models, referred as SiLiq and DiLiq, which are developed in the context of Fama-French model. The sample comprises 230 to 480 firms which stocks are listed on Bursa Malaysia...

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Bibliographic Details
Main Authors:	Ruzita Abdul Rahim, Abu Hassan Shhari Mohd. Nor
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2007
Online Access:	http://journalarticle.ukm.my/8075/ http://journalarticle.ukm.my/8075/1/834-1591-1-SM.pdf

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