Proceedings of the 2025 International Conference on Financial Risk and Investment Management (ICFRIM 2025)

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Empirical Study on the Impact of Liquidity Factor Turnover Rate on Stock Returns: Based on CAPM and Fama-French Models

Authors
Sijie Guo1, *
1School of Finance and Investment, Guangdong University of Finance, Guangzhou, 510000, China
*Corresponding author. Email: 22151A203@m.gduf.edu.cn
Corresponding Author
Sijie Guo
Available Online 3 July 2025.
DOI
10.2991/978-94-6463-748-9_47How to use a DOI?
Keywords
Turnover rate; liquidity; CAPM; Fama-French model; asset pricing
Abstract

This study aims to investigate whether the inclusion of turnover rate (HSL) as a liquidity factor can enhance the explanatory power of the Capital Asset Pricing Model (CAPM) and the Fama-French three-factor model (FF3) in predicting stock returns. This issue is of critical importance in academic research, as it could reveal the impact of market microstructure on asset pricing and provide a new perspective for investment decisions. The author use regression analysis and stock data from six technology companies (Apple, Microsoft, Amazon, Alphabet, Tesla, Plug Power) between June 2016 and October 2020, including excess returns, market excess returns, company size, book-to-market ratio, and turnover rate. The results show that the inclusion of HSL significantly increases the R-squared value of the models, indicating that turnover rate is an important factor influencing stock returns. This finding has practical implications for investors considering liquidity indicators when evaluating stocks and provides a theoretical basis for regulatory authorities to monitor market manipulation behavior.

Copyright
© 2025 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2025 International Conference on Financial Risk and Investment Management (ICFRIM 2025)
Series
Advances in Economics, Business and Management Research
Publication Date
3 July 2025
ISBN
978-94-6463-748-9
ISSN
2352-5428
DOI
10.2991/978-94-6463-748-9_47How to use a DOI?
Copyright
© 2025 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Sijie Guo
PY  - 2025
DA  - 2025/07/03
TI  - Empirical Study on the Impact of Liquidity Factor Turnover Rate on Stock Returns: Based on CAPM and Fama-French Models
BT  - Proceedings of the 2025 International Conference on Financial Risk and Investment Management (ICFRIM 2025)
PB  - Atlantis Press
SP  - 425
EP  - 433
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-748-9_47
DO  - 10.2991/978-94-6463-748-9_47
ID  - Guo2025
ER  -