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Journal article
· 2012
Stock Returns and Liquidity Premium in an Emerging Market
Suppa-Aim, T. & Phothisane, S.
Journal of International Finance Studies, 12(4)
Abstract
Using Thai stock data from 1991 to 2010 and three liquidity measures, the paper finds a liquidity premium in returns. A four-factor model with size, value and liquidity explains returns better than the CAPM.
Key findings
Less liquid stocks earn higher returns. Adding a liquidity factor to size and value improves on the CAPM.
How to cite
Suppa-Aim, T., & Phothisane, S. (2012). Stock returns and liquidity premium in an emerging market. Journal of International Finance Studies, 12(4). ISSN 1945-2950.
BibTeX
@article{suppaaim2012liquidity,
title={Stock Returns and Liquidity Premium in an Emerging Market},
author={Suppa-Aim, T. and Phothisane, S.},
journal={Journal of International Finance Studies},
volume={12},
number={4},
year={2012},
issn={1945-2950}
}
At a glance
Type
Journal article
Year
2012
Authors
Suppa-Aim, T. & Phothisane, S.
Published in
Journal of International Finance Studies, 12(4)