Before And After The Split Share Structure Reform, Time-varying Liquidity And Asset Pricing Research

This paper studies the characters of liquidity in Chinese stock market before and after the reforming of splitting stocks right. It documents both the liquidity and liquidity premium are time-varying in Chinese stock market. They play an important role in the asset pricing. But the result of the empirical test here negatives the market value's role in explaining the cross-section of expected return.