Asian Review of financial Research

Asian Review of Financial Research Vol.18 No.2 pp.289-319

Is the Liquidity Common Factor a Priced Risk in the Korean Stock Markets?

Sang-Koo Nam Korea University, Department of Business Administration
Jong-Ho Park Sunchon National University, Department of Business Administration
Kyong Shik Eom University of California at Berkeley, Department of Economics; Korea Securities Research Institute

Key Words : 유동성 공통요인,장기기억과정,주성분분석,정준상관분석,시장미시구조,정보적 요소,주가결정의 위험요인

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