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The pricing of liquidity risk on the Shanghai stock market · Study

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ArticleThe pricing of liquidity risk on the Shanghai stock market

Tsung‐wu Ho2014

Article2014

The pricing of liquidity risk on the Shanghai stock market

Tsung‐wu Ho · Shu-Hwa Chang

23 citations·0/0 files stored·International Review of Economics & Finance

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

1993Common risk factors in the returns on stocks and bonds 1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 2002Illiquidity and stock returns: cross-section and time-series effects 1996Multifactor Explanations of Asset Pricing Anomalies 2003Liquidity Risk and Expected Stock Returns 1986Asset pricing and the bid-ask spread

Cited by

2021Liquidity and asset pricing: Evidence from the Chinese stock markets 2019Liquidity-adjusted CAPM — An empirical analysis on Indian stock market 2019Pricing corporate financial distress: Empirical evidence from the French stock market

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Year2014

Typearticle

Published2014-12-20

VenueInternational Review of Economics & Finance

ISSN-L1059-0560

Languageen

Citations23

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.iref.2014.12.006

openalex_workW2026076790

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