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Size and liquidity effects in Japanese regional stock markets

By Bruce Hearn

Abstract

This paper assesses the effectiveness of traded turnover, Amihud (2002) and Liu (2006) metrics in measuring illiquidity, as used in a multifactor CAPM. The performance of this model is contrasted using a unique sample from Japan’s regional stock exchanges, namely Sapporo, Nagoya, Fukuoka, Osaka and Tokyo. The evidence suggests that size effects are important in Tokyo, liquidity plays a more important role in the conditional modelling of returns particularly in the smaller markets of Sapporo, Fukuoka and Nagoya where costs of equity are highest

Publisher: Elsevier
Year: 2011
DOI identifier: 10.1016/j.jjie.2011.02.004
OAI identifier: oai:lra.le.ac.uk:2381/9455
Journal:

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  1. (2000). Each of the comparison models are tested independently against the reference Amihud or Turnover measure with each individual regression stated as: Reference Model:

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