Asset pricing and the illiquidity premium

By Howard W. H. Chan, R. Faff. 2005

168 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6a662e2e49a7ecc57c2ad0df3648845208a7dc42

Citations in the corpus

• A Better Model? An Empirical Investigation of the Fama-French Five-Factor Model in Australia (2016, unknown): “As with most of the findings in the finance literature, other capital market anomalies such as liquidity (e.g., Chai, Faff and Gharghori 2013; Chan and Faff, 2005), momentum (e.”
• Size, Value and Liquidity: Do They Really Matter on an Emerging Stock Market? (2012, unknown): “Evidence on the pricing of liquidity risk in international markets is provided by Amihud et al. (1997) for Tel-Aviv Stock Exchange, Hu (1997) for Tokyo Stock Exchange, Marcelo and del Mar Miralles Quiros (2006) for Madrid stock Exchange and Chan and Faff (2005) for the Australian stock market.”