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An investigation into the role of liquidity in asset pricing: Australian evidence

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Cited by:

  1. Gordon, Narelle & Watts, Edward & Wu, Qiongbing, 2014. "Information attributes, information asymmetry and industry sector returns," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 156-175.
  2. Vo, Xuan Vinh & Batten, Jonathan, 2010. "An Empirical Investigation of Liquidity and Stock Returns Relationship in Vietnam Stock Markets during Financial Crisis," MPRA Paper 29862, University Library of Munich, Germany, revised 10 Jan 2011.
  3. Eduardo Bered Fernandes Vieira & Tiago Pascoal Filomena, 2020. "Liquidity Constraints for Portfolio Selection Based on Financial Volume," Computational Economics, Springer;Society for Computational Economics, vol. 56(4), pages 1055-1077, December.
  4. Cong Chen & Carole Comerton-Forde & David R. Gallagher & Terry S. Walter, 2010. "Investment manager skill in small-cap equities," Australian Journal of Management, Australian School of Business, vol. 35(1), pages 23-49, April.
  5. Gharghori, Philip & Chan, Howard & Faff, Robert, 2009. "Default risk and equity returns: Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 17(5), pages 580-593, November.
  6. Hoang, Khoa & Cannavan, Damien & Gaunt, Clive & Huang, Ronghong, 2019. "Is that factor just lucky? Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
  7. repec:ehu:cuader:15779 is not listed on IDEAS
  8. Manapon Limkriangkrai & Robert B. Durand & Iain Watson, 2008. "Is liquidity the missing link?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 48(5), pages 829-845, December.
  9. Nadarajah, Sivathaasan & Ali, Searat & Liu, Benjamin & Huang, Allen, 2018. "Stock liquidity, corporate governance and leverage: New panel evidence," Pacific-Basin Finance Journal, Elsevier, vol. 50(C), pages 216-234.
  10. Shweta Kundlia & Divya Verma, 2021. "Illiquidity Premium in the Indian Stock Market: An Empirical Study," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 11(6), pages 501-511, June.
  11. Nadia Loukil & Mohamed Bechir Zayani & Abdelwahed Omri, 2010. "Impact of liquidity on stock returns: an empirical investigation of the Tunisian stock market," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 3(2), pages 261-283.
  12. Nguyen, Nhut H. & Lo, Ka Hei, 2013. "Asset returns and liquidity effects: Evidence from a developed but small market," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1175-1190.
  13. Daniel Chai & Robert Faff & Philip Gharghori, 2013. "Liquidity in asset pricing: New Australian evidence using low-frequency data," Australian Journal of Management, Australian School of Business, vol. 38(2), pages 375-400, August.
  14. Vu, Van & Chai, Daniel & Do, Viet, 2015. "Empirical tests on the liquidity-adjusted capital asset pricing model," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 73-89.
  15. Jun-Biao Lina & Ping-Yeh Su, 2017. "Idiosyncratic Volatility and Liquidity Risk: How they have Explanatory Power in Stock Returns," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(1), pages 1-2.
  16. Ang, Tze Chuan 'Chewie' & Azad, A.S.M. Sohel & Pham, Thu A.T. & Zhong, Angel, 2021. "Firm efficiency and stock returns: Australian evidence," International Review of Financial Analysis, Elsevier, vol. 78(C).
  17. Michael E. Drew & Alastair Marsden & Madhu Veeraraghavan, 2006. "Small Firm Effect, Liquidity and Security Returns," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 5(2), pages 135-149, August.
  18. Mai, Van Anh (Vivian) & Ang, Tze Chuan ‘Chewie’ & Fang, Victor, 2016. "Aggregate volatility risk and the cross-section of stock returns: Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 36(C), pages 134-149.
  19. Darren D. Lee & Jacquelyn E. Humphrey & Karen L. Benson & Jason Y. K. Ahn, 2010. "Socially responsible investment fund performance: the impact of screening intensity," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 50(2), pages 351-370, June.
  20. Anthony Jerome Anderson & Michael Stuart Long, 2017. "Explaining the On-The-Run Puzzle with Corporate Bonds," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-36, June.
  21. Chai, Daniel & Faff, Robert & Gharghori, Philip, 2010. "New evidence on the relation between stock liquidity and measures of trading activity," International Review of Financial Analysis, Elsevier, vol. 19(3), pages 181-192, June.
  22. Chan, Howard W.H. & Brown, Rob & Ho, Yew Kee, 2006. "Initiation of brokers' recommendations, market predictors and stock returns," Journal of Multinational Financial Management, Elsevier, vol. 16(3), pages 213-231, July.
  23. Philip Gharghori & Ronald Lee & Madhu Veeraraghavan, 2009. "Anomalies and stock returns: Australian evidence," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 49(3), pages 555-576, September.
  24. Philip Gharghori & Sebastian Stryjkowski & Madhu Veeraraghavan, 2013. "Value versus growth: Australian evidence," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 53(2), pages 393-417, June.
  25. Roslily Ramlee & Ruhani Ali, 2012. "Liquidity, Initial Public Offering (IPO) Long-Term Return and Government Ownership Evidence from Bursa Malaysia IPO Stocks," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 8(Supp. 1), pages 39-66.
  26. Boumediene Souiki & Françoise Seyte, 2024. "Liquidity on Eurozone stock markets: A non-linear approach," Economics Bulletin, AccessEcon, vol. 44(1), pages 321-340.
  27. Gharghori, Philip & See, Quin & Veeraraghavan, Madhu, 2011. "Difference of opinion and the cross-section of equity returns: Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 19(4), pages 435-446, September.
  28. Wang, Yuenan & Di Iorio, Amalia, 2007. "The cross section of expected stock returns in the Chinese A-share market," Global Finance Journal, Elsevier, vol. 17(3), pages 335-349, March.
  29. Zhong, Angel & Chai, Daniel & Li, Bob & Chiah, Mardy, 2018. "Volume shocks and stock returns: An alternative test," Pacific-Basin Finance Journal, Elsevier, vol. 48(C), pages 1-16.
  30. Robert B. Durand & Manapon Limkriangkrai & Gary Smith, 2006. "Momentum in Australia—A Note," Australian Journal of Management, Australian School of Business, vol. 31(2), pages 355-364, December.
  31. Benson, Karen & Faff, Robert & Smith, Tom, 2015. "Injecting liquidity into liquidity research," Pacific-Basin Finance Journal, Elsevier, vol. 35(PB), pages 533-540.
  32. Márcio André Veras Machado & Márcia Reis Machado, 2014. "Liquidity and asset pricing:evidence from the Brazilian market," Brazilian Business Review, Fucape Business School, vol. 11(1), pages 69-89, January.
  33. Li, Jie & Zhang, Yongjie & Feng, Xu & An, Yahui, 2019. "Which kind of investor causes comovement?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 1-15.
  34. Qiang Xu & Qianqian Hu & Tachia Chin & Chen Chen & Yi Shi & Jianxin Xu, 2019. "How Supply Chain Integration Affects Innovation in a Digital Age: Moderating Effects of Sustainable Policy," Sustainability, MDPI, vol. 11(19), pages 1-17, October.
  35. Márcio André Veras Machado & Otávio Ribeiro de Medeiros, 2012. "Does the liquidity effect exist in the brazilian stock market?," Brazilian Business Review, Fucape Business School, vol. 9(4), pages 27-50, October.
  36. Marshall, Ben R., 2006. "Liquidity and stock returns: Evidence from a pure order-driven market using a new liquidity proxy," International Review of Financial Analysis, Elsevier, vol. 15(1), pages 21-38.
  37. Ben R. Marshall & Nhut H. Nguyen & Nuttawat Visaltanachoti & Tom Smith, 2016. "Transaction costs in an illiquid order-driven market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 56(4), pages 917-933, December.
  38. Robert B. Durand & Manapon Limkriangkrai & Gary Smith, 2006. "In America's thrall: the effects of the US market and US security characteristics on Australian stock returns," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 46(4), pages 577-604, December.
  39. Jun-Biao Lina & Ping-Yeh Su, 0. "Idiosyncratic Volatility and Liquidity Risk: How they have Explanatory Power in Stock Returns," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 0, pages 2.
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