Liquidity, Skewness and Stock Returns: Evidence from Chinese Stock Market

被引：11

作者：

Chen L. ^{[1
]}

Li S. ^{[2
]}

Wang J. ^{[3
]}

机构：

[1] Lingnan (University) College, Sun Yat-sen University

[2] International Graduate School of Business, University of South Australia, Adelaide, SA 5001

[3] Finance and Economics College, Jimei University

来源：

Asia-Pacific Financial Markets | 2011年 / 18卷 / 4期

关键词：

Co-skewness; Covariance; Liquidity; Three-moment CAPM;

D O I：

10.1007/s10690-010-9137-x

中图分类号：

学科分类号：

摘要：

In this paper, a capital asset pricing model (CAPM) incorporating liquidity and skewness factors is proposed and tested by using the Chinese stock market data. The empirical results indicate that, under various market conditions, the liquidity-adjusted three-moment CAPM provides a better fit to the realized returns of various stock portfolios. Overall, this research reveals that illiquidity cost, liquidity risk and as well as skewness have important impacts on asset pricing in the Chinese stock market. © 2010 Springer Science+Business Media, LLC.

引用

页码：405 / 427

页数：22

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