{"title":"Study on liquidity premium based on three-moment capital asset pricing model","authors":"Bao Wenbin, Yang Miaozhen","doi":"10.1109/ICSSSM.2013.6602637","DOIUrl":null,"url":null,"abstract":"This paper discusses the liquidity premium based on three-moment capital asset pricing model. The study sample is A-share listed in Shanghai and Shenzhen stock exchanges before January 1997. The study is to test whether the three-moment model is able to explain the liquidity risk completely, and whether there is illiquidity premium in China's stock market. The empirical results indicate that three-moment model does not capture the liquidity premium adequately, and liquidity premium exists in China's A-share market. In addition, the empirical results reveal that investors have a preference for positive skewness, which they are willing to pay for.","PeriodicalId":354195,"journal":{"name":"2013 10th International Conference on Service Systems and Service Management","volume":"1 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2013-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"2013 10th International Conference on Service Systems and Service Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/ICSSSM.2013.6602637","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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Abstract
This paper discusses the liquidity premium based on three-moment capital asset pricing model. The study sample is A-share listed in Shanghai and Shenzhen stock exchanges before January 1997. The study is to test whether the three-moment model is able to explain the liquidity risk completely, and whether there is illiquidity premium in China's stock market. The empirical results indicate that three-moment model does not capture the liquidity premium adequately, and liquidity premium exists in China's A-share market. In addition, the empirical results reveal that investors have a preference for positive skewness, which they are willing to pay for.
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