| Status | 已發表Published |
| Asset Pricing and Liquidity Risk: China Evidence | |
Keith Lam ; Lewis Tam
| |
| 2013 | |
| Conference Name | the 26th Australasian Finance and Banking Conference |
| Source Publication | Proceedings of the 26th Australasian Finance and Banking Conference
 |
| Conference Date | 17 – 19 December 2013 |
| Conference Place | Sydney, 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. |
| Keyword | Fama And French Three-factor Model Asset Pricing Liquidity Four-factor Model High Moments |
| DOI | 10.2139/ssrn.2310571 |
| Language | 英語English |
| Fulltext Access | |
| Citation statistics | |
| Document Type | Conference paper |
| Collection | Faculty of Business Administration DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS |
| Affiliation | University of Macau |
| First Author Affilication | University of Macau |
| Recommended Citation GB/T 7714 | Keith Lam,Lewis Tam. Asset Pricing and Liquidity Risk: China Evidence[C], 2013. |
| APA | Keith Lam., & Lewis Tam (2013). Asset Pricing and Liquidity Risk: China Evidence. Proceedings of the 26th Australasian Finance and Banking Conference. |
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