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UM E-Theses Collection (澳門大學電子學位論文庫)

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Title

Liquidity and financial constraints on expected stock return : evidence from Asia-Pacific stock markets

English Abstract

To study the impact of liquidity and financial constraints on asset pricing in the Asia-Pacific emerging countries, this paper examines several widely used asset-pricing models, namely the Capital Asset Pricing Model (CAPM), Fama-French three-factor model, and the liquidity-augmented three-factor model. This paper tries to fill the gap in asset-pricing literature by providing non-US evidence to verify the liquidity and financial constraints hypotheses of asset-pricing. The times-series assets-pricing tests shows that liquidity is an important factor for asset pricing in Australia and Hong Kong while less important in Japan, Indonesia and the Philippines. However, financial constraint has an insignificant impact. The positive return-illiquidity relation is robust for different liquidity proxies, but with different degrees of impact among markets.

Issue date

2011

Author

Liao, Jing Shi

Faculty

Faculty of Business Administration

Degree

M.B.A.

Subject

Banking and Finance -- Department of Finance and Business Economics

Stock exchanges -- Asia

Stock exchanges -- Pacific Area

Investment analysis -- Asia

Investment analysis -- Pacific Area

Supervisor

Tam, Hon Keung

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Location
1/F Zone C
Library URL
991001820719706306