Liquidity Risk and Stock Pricing: Empirical Evidence from Chinese Stock Markets
Based on our simple liquidity risk-adjusted asset pricing model,this paper empirically studies the liquidity risk premium in Chinese stock markets. We find that: there are significant liquidity risk premium in stock returns; more illiquidity or price impact elasticity the stock has,more significant the tests on its liquidity risk premium are. But the price risk sensitivity I.e. Market beta of classical CAPM shows fewer powers in interpreting stock returns data. So the liquidity risk has more important influence on stock pricing than pure price risk,and it is not enough only considering price risk when evaluating stock investment risk and risk premiums. Besides,like foreign stock markets,there also exist illiquidity premium and “flight to liquidity.
Liquidity Risk Stock Pricing Illiquidity Proxy
黄峰 杨朝军 邹小芃
上海交通大学经济与管理学院,上海 200030 浙江大学经济学院,杭州 310027
国际会议
成都
英文
2007-07-09（万方平台首次上网日期，不代表论文的发表时间）