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| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Liquidity Effect and Chinese Stock Return: An Empirical Research Based on Multi-Factor Model |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 37 |
| Date | 2021 |
| Abstract Text | This thesis uses extensive data of 744 Chinese stocks over the period 2006 to July 2021 to conducts an empirical research of how the liquidity factors impact and explain the excess return of Chinese stocks by constructing new multi-factor models, which are based on the original Fama-French five-factor model (2015). The newly added liquidity factors are constructed with Amihud illiquidity ratio (2002 & 2021) and turnover rate. This thesis finds out that new six-factor models perform better in explaining variations on excess returns of Size-B/M and Size-OP portfolios, compared to the original five-factor model. And turnover rate has more convincing power than the Amihud illiquidity ratio in explaining the value effect, profitability effect, investment effect and liquidity effect in the Chinese stock market. |
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