TY - JOUR
T1 - Liquidity and Other Risk Factors: Evidence from the Chinese Stock
AU - Jiang, Ruixiang
AU - He, Yan
AU - Wang, Yanchu
AU - Zhu, Hongquan
PY - 2024/4/4
Y1 - 2024/4/4
N2 - 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.
AB - 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.
U2 - 10.1108/S2514-465020240000012007
DO - 10.1108/S2514-465020240000012007
M3 - Journal article
VL - 12
JO - Advances in Pacific Basin Business, Economics and Finance
JF - Advances in Pacific Basin Business, Economics and Finance
ER -