Based on the model of weighted nonparametric estimation, the study aims to investigate liquidity impact on sector … returns in Stock Exchanges in China. The two results are empirically shown using the data of financial services, traffic … and liquidity is found and the expected returns of sectors are obviously reduced with liquidity impact. Second, the …

Based on the model of weighted nonparametric estimation, the study aims to investigate liquidity impact on sector … returns in Stock Exchanges in China. The two results are empirically shown using the data of financial services, traffic … and liquidity is found and the expected returns of sectors are obviously reduced with liquidity impact. Second, the …

the cross-sectional return variations in China’s stock market. A six-factor liquidity (L-6F) model is the best …We propose a multidimensional liquidity measure constructed from 6 out of 17 individual low-frequency liquidity proxies …. The multidimensional liquidity factor yields significant positive premiums and offers distinguished explanatory power on …