A New Measure of Asset Pricing: Friction-Adjusted Three-Factor Model

In unfrictionless markets, one measure of asset pricing is its height of friction. This study develops a three-factor model by loosening the assumptions about stocks without friction, without risk, and perfectly liquid. Friction is used as an indicator of transaction costs to be included in the mode...

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Bibliographic Details
Published inThe Journal of Asian finance, economics, and business Vol. 7; no. 12; pp. 605 - 613
Main Authors NURHAYATI, Immas, ENDRI, Endri
Format Journal Article
LanguageKorean
Published 한국유통과학회 30.12.2020
Korea Distribution Science Association
Subjects
Adjusted Three-Factor
Transaction Cost
Trading Friction
Unfrictionless Markets
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Table of Contents:
  • 1. Introduction 2. Literature Review 3. Sample and Methodology 4. Results and Discussion 5. Conclusion References