| Status | 已發表Published |
| Asset Pricing and Liquidity Risk: Evidence from China | |
| Lam, S. K.; Tam, H. K. | |
| 2013-12-01 | |
| Source Publication | Proceedings of the 26th Australasian Finance and Banking Conference 2013
 |
| Publication Place | Sydney |
| Publisher | Australasian Finance and Banking Conference |
| 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. |
| Keyword | Asset pricing Liquidity four-factor model Fama and French three-factor model High moments China stock markets |
| Language | 英語English |
| The Source to Article | PB_Publication |
| PUB ID | 15177 |
| Document Type | Conference paper |
| Collection | DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS |
| Recommended Citation GB/T 7714 | Lam, S. K.,Tam, H. K.. Asset Pricing and Liquidity Risk: Evidence from China[C], Sydney:Australasian Finance and Banking Conference, 2013. |
| APA | Lam, S. K.., & Tam, H. K. (2013). Asset Pricing and Liquidity Risk: Evidence from China. Proceedings of the 26th Australasian Finance and Banking Conference 2013. |
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