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Size and liquidity effects in Japanese regional stock markets

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journal contribution
posted on 2011-06-13, 13:30 authored by Bruce Hearn
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.

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Citation

Journal of the Japanese and International Economies, 2011, 25 (2), pp. 157-181.

Published in

Journal of the Japanese and International Economies

Publisher

Elsevier

issn

0889-1583

Copyright date

2011

Available date

2011-06-13

Publisher version

http://www.sciencedirect.com/science/article/pii/S0889158311000177

Language

en

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