mistake that the return of market portfolio is assumed to be exogenous, the risk-return characteristics is a concept from the …

of TTT on the liquidity of the constituent stocks. The empirical result coincides with the expectation of arbitrage … hypothesis that the liquidity of the constituents is increased after the introduction of TTT. Although both changing patterns … among categories of size and sector are not significantly different, most of the liquidity measures of smaller companies …

English Abstract: The fundamental pricing theory of derivatives is based on the assumptions of arbitrage-free and … complete markets, which is equivalent to the unique existence of a risk-neutral measure. A single-period binomial-tree model … with two assets and two states provides an intuitive and concise way to interpret this theory. As a result, English …

English Abstract: The risk dogma believes that asset price is determined by a certain risk, while equilibrium pricing … time series betas and market betas, and that the risk dogma deviates from the wholeness thinking of equilibrium pricing and … beta, we reveal situations that contradict the risk dogma, such as when the beta changes but the expected rate of return …