Fama-French Five-factor Model under Liquidity Adjustment—An Empirical Study Based on China's A-share Market

DOI

10.2991/978-94-6463-042-8_30How to use a DOI?

Keywords

Liquidity Premium; Fama-French five-factor model; Amihud illiquidity index

Abstract

The liquidity of assets is one of the important factors affecting the return on assets. This paper takes the monthly trading data of China's A-share market from January 2005 to December 2020 as the sample space for the empirical research, and takes Amihud illiquidity index as the liquidity index to test the relationship between stock liquidity and stock return. The results of grouping analysis and regression analysis show that there is a significant liquidity premium in China's A-share market. At the same time, the capital asset pricing model with liquidity factor constructed by Amihud illiquidity index has better explanatory ability than the traditional Fama-French five- factor model.

Copyright

© 2023 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Zhanqian Shi
PY  - 2022
DA  - 2022/12/29
TI  - Fama-French Five-factor Model under Liquidity Adjustment—An Empirical Study Based on China's A-share Market
BT  - Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)
PB  - Atlantis Press
SP  - 200
EP  - 205
SN  - 2352-538X
UR  - https://doi.org/10.2991/978-94-6463-042-8_30
DO  - 10.2991/978-94-6463-042-8_30
ID  - Shi2022
ER  -