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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Penerbit Universiti Kebangsaan Malaysia
2007
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| Online Access: | http://journalarticle.ukm.my/8075/ http://journalarticle.ukm.my/8075/ http://journalarticle.ukm.my/8075/1/834-1591-1-SM.pdf |