... and Carhart (1997) and Fama and French (2015) models are applied. The role of liquidity with five-factor model is analyzed using turnover rate and Amihud (2002) illiquidity cost as liquidity measures. Findings Pakistan's equity offers substantial diversification benefits if added to developed market...

...Amir Saadaoui; Anis Elammari; Mohamed Kriaa Purpose This study examines the effect of the informational content of local credit rating announcements in emerging markets on the liquidity of their bond markets. This study analyses the liquidity of bonds in various emerging bond markets using...