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Asset Pricing and Liquidity Risk: China Evidence
Keith Lam; Lewis Tam
2013
Conference Namethe 26th Australasian Finance and Banking Conference
Source PublicationProceedings of the 26th Australasian Finance and Banking Conference
Conference Date17 – 19 December 2013
Conference PlaceSydney, Australia
Abstract

This study investigates the role of various asset pricing models in the China stock markets. We test several well-documented asset pricing models and find that the liquidity four-factor is the best model in explaining stock returns in China stock markets. The results are valid on both time-series and cross-sectional tests, additional factors such as portfolio residuals, higher moments, and on monthly seasonality and conditional-market tests. We also compare the liquidity four-factor model with alternative factor models and find that it is the best model in explaining stock returns in China.

KeywordFama And French Three-factor Model Asset Pricing Liquidity Four-factor Model High Moments
DOI10.2139/ssrn.2310571
Language英语
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Document TypeConference paper
CollectionFaculty of Business Administration
DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
AffiliationUniversity of Macau
First Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Keith Lam,Lewis Tam. Asset Pricing and Liquidity Risk: China Evidence[C],2013.
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