The Liquidity-Augmented CAPM: Empirical evidence from the JSE
This study replicates the two-factor Liquidity-Augmented CAPM of Liu (2006) on the JSE over the period 1997–2011. To adjust any risk measures for the downward bias consistent with infrequently traded shares, Fowler and Rorke (1983)’s adjusted OLS coefficients are utilised. Liu’s paper defines liquid...
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| Format: | Others |
| Language: | en |
| Published: |
2014
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| Online Access: | http://hdl.handle.net/10539/15127 |