Asymmetric information, illiquidity and asset returns: evidence from China

被引：3
|
作者：
Li, Guangchuan [1 ]
Lu, Lei [2 ]
Wu, Bo [3 ]
Zhang, Zhou [4 ]
机构：
[1] Shenzhen Stock Exchange, Shenzhen, Peoples R China
[2] Peking Univ, Beijing 100871, Peoples R China
[3] China Financial Futures Exchange, Shanghai, Peoples R China
[4] Univ Regina, Regina, SK S4S 0A2, Canada
来源：
QUANTITATIVE FINANCE | 2014年 / 14卷 / 06期
关键词：
CROSS-SECTION; RISK; PRICES; COST;
D O I：
10.1080/14697688.2013.823558
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
[No abstract available]
引用
收藏
页码：947 / 957
页数：11
相关论文
共 50 条
  • [1] Investor sentiment and the predictability of asset returns: Evidence from China
    Hu, Changsheng
    Sun, Wei
    Wang, Yongfeng
    Chi, Yangchun
    [J]. Journal of Chemical and Pharmaceutical Research, 2014, 6 (06) : 577 - 585
  • [2] Market microstructure and asset pricing: On the compensation for illiquidity in stock returns
    Brennan, MJ
    Subrahmanyam, A
    [J]. JOURNAL OF FINANCIAL ECONOMICS, 1996, 41 (03) : 441 - 464
  • [3] Portfolio choices, Asset returns and wealth inequality: evidence from China
    Wei, Shang-Jin
    Wu, Weixing
    Zhang, Linwan
    [J]. EMERGING MARKETS REVIEW, 2019, 38 : 423 - 437
  • [4] Extreme illiquidity and stock returns: Evidence from Thailand market
    Chen, Xi
    Wang, Junbo
    Wang, Yanchu
    Zhong, Xiaoling
    [J]. PACIFIC-BASIN FINANCE JOURNAL, 2023, 82
  • [5] Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition
    Vayanos, Dimitri
    Wang, Jiang
    [J]. REVIEW OF FINANCIAL STUDIES, 2012, 25 (05): : 1339 - 1365
  • [6] Momentum returns and information uncertainty: Evidence from China
    Cheema, Muhammad A.
    Nartea, Gilbert V.
    [J]. PACIFIC-BASIN FINANCE JOURNAL, 2014, 30 : 173 - 188
  • [7] Is volatility clustering of asset returns asymmetric?
    Ning, Cathy
    Xu, Dinghai
    Wirjanto, Tony S.
    [J]. JOURNAL OF BANKING & FINANCE, 2015, 52 : 62 - 76
  • [8] Compensation for illiquidity in China: Evidence from an alternative measure
    Zhang, Yiming
    Wang, Guanying
    [J]. NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2020, 53
  • [9] Modeling asymmetric comovements of asset returns
    Kroner, KF
    Ng, VK
    [J]. REVIEW OF FINANCIAL STUDIES, 1998, 11 (04): : 817 - 844
  • [10] Asymmetric information and asset returns-an empirical study of Shenzhen stock market
    Lei, Jueming
    [J]. PROCEEDINGS OF THE THIRD INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE AND ENGINEERING MANAGEMENT, 2009, : 374 - 380
12345