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Liquidity and asset pricing: A compa...

Nguyen, Duong.

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Liquidity and asset pricing: A comparison between three-factor and three-moment capital asset pricing models.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Liquidity and asset pricing: A comparison between three-factor and three-moment capital asset pricing models./
Author:	Nguyen, Duong.
Description:	108 p.
Notes:	Source: Dissertation Abstracts International, Volume: 67-09, Section: A, page: 3528.
Contained By:	Dissertation Abstracts International67-09A.
Subject:	Economics, Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3235612
ISBN:	9780542896835

Liquidity and asset pricing: A comparison between three-factor and three-moment capital asset pricing models.
Nguyen, Duong.

Liquidity and asset pricing: A comparison between three-factor and three-moment capital asset pricing models. - 108 p.

Source: Dissertation Abstracts International, Volume: 67-09, Section: A, page: 3528.

Thesis (Ph.D.)--Florida International University, 2006.

Liquidity is an important attribute of an asset that investors would like to take into consideration when making investment decisions. However, the previous empirical evidence whether liquidity is a determinant of stock return is not unanimous. This dissertation provides a very comprehensive study about the role of liquidity in asset pricing using the Fama-French (1993) three-factor and Kraus and Litzenberger (1976) three-moment CAPM as models for risk adjustment. The relationship between liquidity and well-known determinants of stock returns such as size and book-to-market are also investigated. This study examines the liquidity and asset pricing issues for both intertemporal as well as cross-sectional data.

ISBN: 9780542896835Subjects--Topical Terms:

626650
Economics, Finance.

Liquidity and asset pricing: A comparison between three-factor and three-moment capital asset pricing models.
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100 1 $a Nguyen, Duong. $3 1922147
245 1 0 $a Liquidity and asset pricing: A comparison between three-factor and three-moment capital asset pricing models.
300 $a 108 p.
500 $a Source: Dissertation Abstracts International, Volume: 67-09, Section: A, page: 3528.
500 $a Adviser: Arun J. Prakash.
502 $a Thesis (Ph.D.)--Florida International University, 2006.
520 $a Liquidity is an important attribute of an asset that investors would like to take into consideration when making investment decisions. However, the previous empirical evidence whether liquidity is a determinant of stock return is not unanimous. This dissertation provides a very comprehensive study about the role of liquidity in asset pricing using the Fama-French (1993) three-factor and Kraus and Litzenberger (1976) three-moment CAPM as models for risk adjustment. The relationship between liquidity and well-known determinants of stock returns such as size and book-to-market are also investigated. This study examines the liquidity and asset pricing issues for both intertemporal as well as cross-sectional data.
520 $a The results indicate an existence of a liquidity premium, i.e., less liquid stocks would demand higher rate of return than more liquid stocks. More specifically, a drop of 1 percent in liquidity is associated with a higher rate of return of about 2 to 3 basis points per month. Further investigation reveals that neither the Fama-French three-factor model nor the three-moment CAPM captures the liquidity premium. Finally, the results show that well-known determinants of stock return such as size and book-to-market do not serve as proxy for liquidity.
520 $a Overall, this dissertation shows that a liquidity premium exists in the stock market and that liquidity is a distinct effect, and is not influenced by the presence of non-market factors, market factors and other stock characteristics.
590 $a School code: 1023.
650 4 $a Economics, Finance. $3 626650
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773 0 $t Dissertation Abstracts International $g 67-09A.
790 1 0 $a Prakash, Arun J., $e advisor
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791 $a Ph.D.
792 $a 2006
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