Liquidity,Skewness and Stock Returns: Evidence from Chinese Stock Market |
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| Authors: | Langnan?Chen Email author" target="_blank">Steven?LiEmail author Jinan?Wang |
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| Institution: | 1.Lingnan (University) College,Sun Yat-sen University,Guangzhou,China;2.International Graduate School of Business,University of South Australia,Adelaide,Australia;3.Finance and Economics College,Jimei University,Xiamen,China |
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| Abstract: | 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. |
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