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中國股票收益的非流動性補償-資料下載頁

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【正文】 “Liquidity, exchange listing and mon stock performance”, Journal of Economics and Business, 37, 1 Datar, V. T., . Naik and R. Radcliffe(1998): “Liquidity and stock returns: An alternative test”, Journal of Financial Markets, 1, 1 Diamond, D. and R. Verrechia(1987): “Constraints on shortselling and asset price adjustment to private information”, Journal of Financial Economics, 1 Elsewarapu, V. R. and M. Reinganum(1993): “The seasonal behavior of liquidity premium in asset pricing”, Journal of Financial Economics, 34: 1 Elsewarapu, .(1997): “Cost of transacting and expected returns in the NASDAQ market”, Journal of Finance, 52, 1 Fama, . and . French(1992): “The cross section of expected stock returns”, Journal of Finance, 47: 1 Keim, .(1983): “Size related anomalies and stock return seasonality”, Journal of Financial Economics, 12, 1 Khan, . and (1993): “Unlisted trading privileges, liquidity and stock returns”, Journal of Financial Research, 16: 1 Kyle, A.(1985): “Continuous auctions and insider trading”, Econometrica, 53: pp131513351 Levy, H.(1978): “Equilibrium in an imperfect market: constraint on the number of securities in the portfolio”, American Economic Review, 68, Luttmer, E.(1996): “Asset pricing in economies with frictions”, Econometrica, 2 Merton, R. C.(1987): “A simple model of capital market equilibrium with inplete information”, Journal of Finance, 42, 2 Redding, L. S.(1997): “Firm size and dividend payouts”, Journal of Financial Intermediation, 6, 2 Reinganum, M. R.(1981): “Misspecification of capital asset pricing: empirical anomalies based on earnings yields and market values”, Journal of Financial Economics, 9, 2 Scholes, M. and J. Williams(1977): “Estimating betas from nonsynchronous data”, Journal of Financial Economics, 5, 2 Tinic, . and R. R. West(1986): “Risk, return and equilibrium: a revisit”, Journal of Political Economy, 94, The Illiquidity Premium in China Stock MarketAbstract: The paper tests the crosssectional relationship between the illiquidty and stock returns in the China39。s stock market. It shows that the illiquidity is positively related with stock return, while the relationship between returns and Betas isn39。t significant. The result indicates that the expected stock excess returns in China can be partially explained by an illiquidty premium. Moreover, we find that stock returns are negatively associated with contemporaneous unexpected illiquidity. Illiquidity affects more strongly on small firm stocks, thus explaining the small firm effect.Keywords: illiquidity premium, asset pricing, small stock effect JEL G12
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