Cross-sectional stock returns, Market liquidity risk, and Financial market anomalies
To achieve the optimal model for capital asset pricing has always been a central issue in studies of the financial field. In this study we consider Fama and French three-factor model augmented by the Pastor and Stambaugh (2003) liquidity risk factor. Unlike most previous studies in this model, stock...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
| Published: |
University of Tehran
2016-05-01
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| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_59625_4f33c651de4cd4d3e518f00169af20cf.pdf |