{"title":"基于三时刻资本资产定价模型的流动性溢价研究","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":"{\"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}","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}
Study on liquidity premium based on three-moment capital asset pricing model
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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