Liquidity, Information Asymmetry, Divergence of Opinion and Asset Returns: Evidence from Chinese Stock Market

摘要: We examine the independent and dominating effects of liquidity level, information asymmetry divergence opinion on asset returns in an important emerging market, Chinese stock market. use variable ILLIQ from Amihud (2002) to proxy for PIN Easley, Hvidkjaer, O'Hara OBS based Naes Skjeltorp (2006) opinion. find striking evidence that stocks with a higher or lower asymmetry, opinion, experience significantly excess returns. More importantly, explanatory power level may only reflect those either Moreover, we no effect between when examining their impact These further findings verify fact both affect meanwhile, asymmetric seems partly explain dispersed beliefs among investors