Liquidity impact on assets pricing in the context of Fama and French model Online publication date: Fri, 17-Jan-2020
by Ghlama Haddad; Slaheddine Hellara
International Journal of Financial Innovation in Banking (IJFIB), Vol. 2, No. 4, 2019
Abstract: The three-factor asset pricing model of Fama and French (1993) was developed as a response to the CAPM limits in explaining the financial asset's return. However, these two models do not take into account that the liquidity factor has consistently proven to have a crucial importance. Therefore, in this research, we study the impact of liquidity on financial assets pricing in presence of Fama and French factors (SMB and HML). We use data of two portfolios of assets listed on the São Paulo and Shanghai stock exchanges, over a period of ten years, spreading between January 2003 and December 2012. Our results confirm previous studies in developed markets, and we have shown that liquidity has a significant and negative impact on the expected returns of financial assets listed on emerging markets.
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Financial Innovation in Banking (IJFIB):
Login with your Inderscience username and password:
Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.
If you still need assistance, please email subs@inderscience.com