factor is low. (4) Increased funding liquidity risk compresses betas toward one. (5) More constrained investors hold riskier …

The decomposition of national CAPM market betas of European countries’ value and growth portfolio returns into cashflow … relatively well integrated stock markets among the core European countries and reflects basic asset pricing theory. One (national …

reversals in Brazil, liquidity anomaly in South Korea and South Africa, profitability anomaly in Brazil and South Africa … challenge to asset pricing for sample markets. The four factor liquidity augmented FFM is a better descriptor of asset pricing … compared to CAPM and FFM only in the Indian context. The Fama French model seems to be an appropriate performance benchmark for …

as company characteristic(s) and prior return based portfolios. The CAPM is a poor descriptor of asset pricing as it …

flat, or even negative. This is inconsistent with theoretical models such as the CAPM, which predict a positive relation …

systems in Europe. It investigates the relationship between the trading activity of a crossing network (CN) and the liquidity …

This study addresses the impact of equity market liquidity on Canadian economic growth and investigates how consumer … attitudes/sentiments affect the dynamic macro-liquidity relationship. Using various market liquidity proxies (e.g., illiquidity … results: we document the predictability role of liquidity on future economic growth, and we find that during periods of high …

impact of illiquidity and transaction costs is almost lethal. After accounting for varying bid-ask spreads and liquidity …