Purpose

The purpose of this study is to examine the performances of liquidity factors in the stock market cycle. It aims to investigate whether the contribution of liquidity factors changes with stock market trends.

Design/methodology/approach

Six liquidity proxies and two-factor construction methods are compared in this study. The spanning regression method was applied to examine the contribution of liquidity factors to the asset pricing model, while the Fama and MacBeth regression method was used for examining the pricing power of liquidity factors.

Findings

The result shows that liquidity factors are accretive to models explaining returns in bull markets but not accretive to models in bear markets. The most appropriate method of constructing liquidity factors in the Japanese stock market has also been clarified.

Originality/value

In the Japanese stock market, there has never been a comprehensive test of the role of the liquidity risk factor in different market trends using the long-run data. This study helps with identifying the importance of liquidity pricing risk in different market trends. It also fills the gaps by comparing liquidity factors that are constructed through different methods and proxies and provides evidence for further confirming the correct asset pricing model in the future.

中文翻译：

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流动性因素在股市周期中的表现：来自东京证券交易所的证据

目的

本研究的目的是考察流动性因素在股市周期中的表现。旨在研究流动性因素的贡献是否随股市走势而变化。

设计/方法/方法

本研究比较了六种流动性代理和双因素构建方法。应用跨度回归法考察流动性因素对资产定价模型的贡献，而Fama-MacBeth回归法考察流动性因素的定价能力。

发现

结果表明，流动性因素对解释牛市回报的模型有增加作用，但对熊市模型没有增加作用。日本股市中构建流动性因子的最合适方法也已明确。

原创性/价值

在日本股市，从来没有使用长期数据全面检验流动性风险因素在不同市场趋势中的作用。这项研究有助于确定流动性定价风险在不同市场趋势中的重要性。它还通过比较通过不同方法和代理构建的流动性因素来填补空白，为未来进一步确认正确的资产定价模型提供证据。