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Chinese Journal of Management Science ›› 2006, Vol. ›› Issue (5): 45-51.

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The Empirical Study on Multi-Factor Pricing Model Based on Liquidity Risk

LU Jing1, TANG Xiao-wo2   

  1. 1. College of Economics and Business Administration, Chongqing University, Chongqing 400030, China;
    2. School of Management, University of Electronic Science and Technology, Chengdu 610054, China
  • Received:2005-09-07 Revised:2006-09-12 Online:2006-10-28 Published:2012-03-07

Abstract: The paper studies the effect liquidity risk of the on stock pricing base on multi-factor assets pricing model.Provided that liquidity being regarded as compensation of stock returns,stock expected returns will relate with stock's liquidity risk and market portfolio's liquidity risk.Liquidity has somewhat prediction effects.The present illiquidity stock will be of illiquidity in the future,and its expected returns will be high.

Key words: liquidity risk, asset pricing, stock returns

CLC Number: