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Market pricing of liquidity risk: evidence from China

Abstract : The purpose of this paper is to investigate whether liquidity risk (i.e. the returns’ vulnerability to the unexpected changes in overall market liquidity) is a priced risk factor in China. Moreover, it investigates the potential role of a stock’s information quality in reducing its liquidity risk during the period of post-non-tradable shares reforms in China.
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https://hal-rennes-sb.archives-ouvertes.fr/hal-02463088
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Submitted on : Friday, January 31, 2020 - 4:48:24 PM
Last modification on : Saturday, February 1, 2020 - 1:04:44 AM

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Raheel Safdar, Sultan Sikandar Mirza, Tanveer Ahsan. Market pricing of liquidity risk: evidence from China. China Finance Review International, Emerald Publishing Limited, 2019, 9 (4), pp.554-566. ⟨10.1108/CFRI-01-2019-0013⟩. ⟨hal-02463088⟩

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