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Journal Articles China Finance Review International Year : 2019

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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hal-02463088 , version 1 (31-01-2020)

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