内容摘要：This paper presents a detailed analysis of liquidity measures, liquidity risk and asset pricing. Among the eight liquidity proxies examined, the trading discontinuity measure tends to perform best and produces a premium robust to the seven commonly (or likely to be commonly) used models such as the Fama–French three-factor model and the Fama and French (2015) five-factor model. The liquidity-augmented CAPM provides a good description of expected returns. It accounts for the liquidity premium that all other models fail to explain. It also performs generally better than the other models relative to the size–book-to-market portfolios, profitability–asset-growth portfolios, and industry portfolios.

刘卫民教授简介：刘卫民在英国曼彻斯特大学获得金融学博士,从2000年起先后在曼彻斯特大学任金融学讲师和副教授.从2007年至今,他在英国诺丁汉大学77779193永利集团任金融学教授.目前,他被委派到宁波诺丁汉大学77779193永利集团任金融学教授.刘卫民教授的主要研究领域是资产定价和市场有效性分析,同时也涵盖公司财务和基金业绩评估.其研究成果发表在 Journal of Financial Economics, Review of Financial Studies 等学术期刊.

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