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Size and liquidity effects in Asia-Pacific equity markets

Size and liquidity effects in Asia-Pacific equity markets
Size and liquidity effects in Asia-Pacific equity markets
This study contrasts the effectiveness of the capital asset pricing model (CAPM) against more recent augmented variants including size and book-to-market factors (Fama and French, 1993) as well as both size and liquidity factors of Martinez et al (2005) in explaining average returns in industry portfolios across a comprehensive sample of Asia-Pacific equity markets. Size and especially liquidity effects were found to be pervasive across national industry portfolios which were further supported through the application of Kalman filter time varying techniques. The evidence suggests that there are distinct similarities between the determinants of returns in both Chinese exchanges, namely Shanghai and Shezen, the markets of Singapore and Malaysia also have common determinants in their returns. Estimates of cost of equity across industries reveals that Japan is lowest followed by Australia, New Zealand, Singapore, Malaysia, Hong Kong and South Korea. The emerging markets of Thailand, Indonesia and Philippines together with both Chinese exchanges have the highest values.
Asian Finance Association
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2

Hearn, Bruce (2011) Size and liquidity effects in Asia-Pacific equity markets. In Asian Finance Association 2011 International Conference: Frontiers in Finance: Asia-Pacific and Beyond, Macau, SAR China. Asian Finance Association. 47 pp .

Record type: Conference or Workshop Item (Paper)

Abstract

This study contrasts the effectiveness of the capital asset pricing model (CAPM) against more recent augmented variants including size and book-to-market factors (Fama and French, 1993) as well as both size and liquidity factors of Martinez et al (2005) in explaining average returns in industry portfolios across a comprehensive sample of Asia-Pacific equity markets. Size and especially liquidity effects were found to be pervasive across national industry portfolios which were further supported through the application of Kalman filter time varying techniques. The evidence suggests that there are distinct similarities between the determinants of returns in both Chinese exchanges, namely Shanghai and Shezen, the markets of Singapore and Malaysia also have common determinants in their returns. Estimates of cost of equity across industries reveals that Japan is lowest followed by Australia, New Zealand, Singapore, Malaysia, Hong Kong and South Korea. The emerging markets of Thailand, Indonesia and Philippines together with both Chinese exchanges have the highest values.

Text
Hearn Paper 2 Manuscript - Accepted Manuscript
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More information

Published date: 10 July 2011
Venue - Dates: Asian Finance Association 2011 International Conference, Four Seasons Hotel, Macao, 2011-07-08 - 2011-07-12

Identifiers

Local EPrints ID: 423298
URI: http://eprints.soton.ac.uk/id/eprint/423298
PURE UUID: 66931a89-b232-4824-9c56-a170f5bc5a67
ORCID for Bruce Hearn: ORCID iD orcid.org/0000-0001-9767-0198

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Date deposited: 20 Sep 2018 16:30
Last modified: 12 May 2020 00:44

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Author: Bruce Hearn ORCID iD

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