Liquidity and Other Risk Factors: Evidence from the Chinese Stock

Ruixiang Jiang, Yan He, Yanchu Wang, Hongquan Zhu

Research output: Journal article publicationJournal articleAcademic researchpeer-review


We form portfolios based on return and liquidity and examine the effects of liquidity and other risk factors on asset pricing in the Chinese stock market. Our results show that the past loser-and-illiquid stock portfolios tend to outperform the past winner-and-liquid stock portfolios in the 1–12 months holding period. The excess return is significantly associated with the market-wide liquidity factor even when we control the three Fama-French and momentum factors. Cross-sectionally, the liquidity beta significantly affects the excess return even with control of other risk betas and other traditional liquidity proxies.

Original languageEnglish
JournalAdvances in Pacific Basin Business, Economics and Finance
Publication statusPublished - 4 Apr 2024


Dive into the research topics of 'Liquidity and Other Risk Factors: Evidence from the Chinese Stock'. Together they form a unique fingerprint.

Cite this