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Title: Size and liquidity effects in Japanese regional stock markets
Authors: Hearn, Bruce
First Published: 3-Mar-2011
Publisher: Elsevier
Citation: Journal of the Japanese and International Economies, 2011, 25 (2), pp. 157-181.
Abstract: This paper assesses the effectiveness of traded turnover, Amihud (2002) and Liu (2006) metrics in measuring illiquidity, as used in a multifactor CAPM. The performance of this model is contrasted using a unique sample from Japan’s regional stock exchanges, namely Sapporo, Nagoya, Fukuoka, Osaka and Tokyo. The evidence suggests that size effects are important in Tokyo, liquidity plays a more important role in the conditional modelling of returns particularly in the smaller markets of Sapporo, Fukuoka and Nagoya where costs of equity are highest.
DOI Link: 10.1016/j.jjie.2011.02.004
ISSN: 0889-1583
Type: Article
Rights: NOTICE: this is the author’s version of a work that was accepted for publication in the Journal of the Japanese and International Economies. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of the Japanese and International Economies, 2011, 25 (2), pp. 157-181. DOI: 10.1016/j.jjie.2011.02.004
Appears in Collections:Published Articles, School of Management

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