Seminar series
Date:
Wednesday 13 June
Speaker:
Bruce Hearn (University of Sussex)
Title:
Time varying liquidity effects in Japanese and Pacific Basin equity
markets: An industrial sector analysis.
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 AsiaPacific 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 Shenzen, 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 while Thailand, Indonesia and Philippines and both
Chinese exchanges have the highest values.