Low liquidity beta anomaly in China
Frömmel, M., Han, X., Li, Y., & Vigne, S. A. (in press). Low liquidity beta anomaly in China. Emerging markets review, https://doi.org/10.1016/j.ememar.2021.100832
The conventional risk-based theory does not reconcile with the liquidity-beta anomaly in China: Low liquidity-beta stocks outperform high liquidity-beta stocks on a risk-adjusted basis. This striking pattern is robust to different weighting schemes,... Read More about Low liquidity beta anomaly in China.