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https://dspace.ctu.edu.vn/jspui/handle/123456789/4837| Title: | Liquidity and stock returns: Evidence from the Ho Chi Minh Stock Exchange |
| Authors: | Lê, Long Hậu |
| Keywords: | Liquidity Stock returns Three-factor model Hochiminh stock exchange |
| Issue Date: | 2017 |
| Series/Report no.: | International Journal of Engineering Technology and Management;4 .- p.1-6 |
| Abstract: | This study examines the effect of liquidity factor on stock returns on Ho Chi Minh stock exchange using data collected from 2006 to 2014. Results from OLS regression show that, compared to the three-factor model by Fama-French (1993), the three-factor model augmented with liquidity factor can explain stock returns better. This means that investors on stock market require risk premium for the liquidity risk of stocks. In other words, the liquidity factor is taken into account in the stock pricing model by investors. |
| URI: | http://dspace.ctu.edu.vn/jspui/handle/123456789/4837 |
| ISSN: | 2394-6881 |
| Appears in Collections: | Tạp chí quốc tế |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| _file_ | 786.26 kB | Adobe PDF | View/Open | |
| Your IP: 3.135.185.194 |
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