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    Is liquidity the missing link?

    Access Status
    Fulltext not available
    Authors
    Limkriangkrai, M.
    Durand, Robert
    Watson, I.
    Date
    2008
    Type
    Journal Article
    
    Metadata
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    Citation
    Limkriangkrai, M. and Durand, R. and Watson, I. 2008. Is liquidity the missing link?. Accounting and Finance. 48: pp. 829-845.
    Source Title
    Accounting and Finance
    Additional URLs
    http://web.ebscohost.com/ehost/pdfviewer/pdfviewer?sid=6f866464-9bfc-44a8-be73-afc717aecfe2%40sessionmgr10&vid=2&hid=123
    ISSN
    0810-5391
    URI
    http://hdl.handle.net/20.500.11937/12973
    Collection
    • Curtin Research Publications
    Abstract

    Durandet al.(2006a) argue that the Australian market is both internationallyintegrated and domestically segmented. They find that the US-based three-factormodel captures returns of the largest stocks in Australia (evidence of internationalintegration), but that it is unable to account for the returns of the smallest stocks(evidence of domestic segmentation). This study resolves the puzzle left by Durandet al. (2006a). Incorporating a liquidity factor provides the missing link in theiranalysis: it results in a model that permits both the international integration of thelargest stocks and the model can account for the returns of the smallest stocks.Our analysis highlights the important role of liquidity in Australian asset pricing.

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