Chan, Howard W.; Faff, Robert W. - In: The Financial Review 40 (2005) 4, pp. 429-458
In this paper, we examine the asset-pricing role of liquidity (as proxied by share turnover) in the context of the Fama and French (1993) three-factor model. Our analysis employs monthly Australian data, covering the sample period from 1990 to 1998. The key finding of our research is that the...