Study on Liquidity Risk Premium Based on Chinese Stock Market
改进了Fama三因子模型和LACAPM，实证研究中国股市的流动性风险溢价、规模效应和价值效应，发现改进的LACAPM在解释市场异象方面表现更好。
Based on the improving of Fama three-factor model and LACAPM,the paper empirically studies the liquidity risk premium,size effect and value effect in Chinese stock market The empirical studies show that the improved Fama three-factor model can be better in explaining value effect than CAPM,but can not explain the size effect and liquidity risk premium,and the improved LACAPM has better performance than other models in explaining market anomalies.