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Aggregate liquidity premium and cross-sectional returns: Evidence from China · Study

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ArticleAggregate liquidity premium and cross-sectional returns: Evidence from China

Cunfei Liao2021

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Articlegreen2021

Aggregate liquidity premium and cross-sectional returns: Evidence from China

Cunfei Liao · Qianlin Luo · Guohao Tang

16 citations·0/0 files stored·Economic Modelling

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Financial Markets and Investment Strategies Corporate Finance and Governance Financial Analysis and Corporate Governance

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References

1993Common risk factors in the returns on stocks and bonds 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*2002Illiquidity and stock returns: cross-section and time-series effects 2014A five-factor asset pricing model 1981The relationship between return and market value of common stocks 1995The Limits of Arbitrage 2006The Cross‐Section of Volatility and Expected Returns 1988A Theory of Intraday Patterns: Volume and Price Variability

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Year2021

Typearticle

Published2021-09-14

VenueEconomic Modelling

ISSN-L0264-9993

Languageen

Citations16

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.econmod.2021.105645

openalex_workW3200426715

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