Liquidity risk impact on stock returns

• Main Authors: Rapheedah Musneh, Mohd. Rahimie Abd. Karim, Caroline Geetha A/P B. Arokiadasan
• Format: Article
• Language: English; English
• Published: Universiti Malaysia Sabah 2020
• Subjects: DS Asia; HG Finance
• Online Access: https://eprints.ums.edu.my/id/eprint/27168/1/Liquidity%20risk%20impact%20on%20stock%20returns-Abstract.pdf; https://eprints.ums.edu.my/id/eprint/27168/2/Liquidity%20risk%20impact%20on%20stock%20returns.pdf; https://eprints.ums.edu.my/id/eprint/27168/; http://www.myjurnal.my/public/browse-journal-view.php?id=396

This study investigates the impact of liquidity risk on stock returns in the Malaysian stock exchange using the LCAPM model of Acharya and Pedersen. This research employed firm-level equity data involving 419 continuously listed firms in Bursa Malaysia from January 2000 to December 2018. The study e...