This paper considers liquidity as an explanation for the positive association between expected idiosyncratic volatility (IV) and expected stock returns. Liquidity costs may affect the stock returns, through bid-ask bounce and other microstructure-induced noise, which will affect the estimation...

We investigate whether the effect of liquidity on equity returns can be attributed to the liquidity level, as a stock characteristic, or a market wide systematic liquidity risk. We develop a CAPM liquidity-augmented risk model and test the characteristic hypothesis against the systematic risk...

Frazzini and Pedersen (2014) [Betting against beta. Journal of Financial Economics, 111(1), 1-25] report an insignificant performance for the betting against beta (BAB) strategy in the Australian equity market, suggesting that the beta anomaly does not exist in this market. We extend their...