Employing a new proxy for liquidity, this paper examines its impact on stock returns in the context of the Fama-French framework. We augment the Carhart four-factor model with a liquidity factor and employ individual and system regression techniques. Using an extensive dataset drawn from the Australian equities market, we find a significant illiquidity premium and evidence that liquidity explai...

This study aims to explore the robustness of applicability Fama-French and Carhart asset pricing models on Amman Stock Exchange (ASE) equity market. It uses data all companies listed traded in ASE, over period 2002 2018. The time-series regression approach Black et al. (1972). To estimate models, applies ordinary least squares (OLS) method. found that fail capture cross-section average returns ...

participants at the workshops at Tulane University and the annual Financial Management Association meetings, two anonymous referees and many of our colleagues for helpful comments at various stages of this research. We also thank Lipper Analytical Services, Inc. for providing data on monthly total net assets and returns, and thank Mark Carhart for data on factor returns to estimate four-factor ...