Liquidity risk and asset pricing : evidence from Amman stock exchange
Other Title(s)
مخاطر السيولة، و أثرها على تسعير الأصول : دليل من بورصة عمان للأوراق المالية
Joint Authors
Bani Hani, Muhammad Ahmad
al-Mawla, Muna Mamduh
Source
Jordan Journal of Business Administration
Issue
Vol. 13, Issue 1 (31 Mar. 2017), pp.129-142, 14 p.
Publisher
University of Jordan Deanship of Academic Research (DAR)
Publication Date
2017-03-31
Country of Publication
Jordan
No. of Pages
14
Main Subjects
Economics & Business Administration
Abstract EN
The main aim of this study is to investigate the effect of liquidity risk on the explanatory power of the original model that was introduced by Fama and French three-factor model, using the turnover ratio measurement as liquidity proxies.
Using monthly data for the period from January 2007 to December 2013 for a sample of 56 listed companies in Amman Stock Exchange (ASE).
The study shows the existence of size, value and liquidity effects.
The liquidity factor, although improves the explanatory power of the original model, and is significant in the most portfolios, when applied in the Jordanian Financial Market.
The study also shows that adding liquidity factor can improve explanatory power of the CAPM, and the Fama and French three-factor model.
The study advices investors and portfolio managers to use the liquidity Four-factor model, because this model provides bette
American Psychological Association (APA)
Bani Hani, Muhammad Ahmad& al-Mawla, Muna Mamduh. 2017. Liquidity risk and asset pricing : evidence from Amman stock exchange. Jordan Journal of Business Administration،Vol. 13, no. 1, pp.129-142.
https://search.emarefa.net/detail/BIM-844139
Modern Language Association (MLA)
Bani Hani, Muhammad Ahmad& al-Mawla, Muna Mamduh. Liquidity risk and asset pricing : evidence from Amman stock exchange. Jordan Journal of Business Administration Vol. 13, no. 1 (2017), pp.129-142.
https://search.emarefa.net/detail/BIM-844139
American Medical Association (AMA)
Bani Hani, Muhammad Ahmad& al-Mawla, Muna Mamduh. Liquidity risk and asset pricing : evidence from Amman stock exchange. Jordan Journal of Business Administration. 2017. Vol. 13, no. 1, pp.129-142.
https://search.emarefa.net/detail/BIM-844139
Data Type
Journal Articles
Language
English
Notes
Record ID
BIM-844139