Ma, Xiuli; Zhang, Xindong - In: Cogent Economics & Finance 9 (2021) 1, pp. 1-14
This paper assesses the explanatory power of the liquidity-risk-based pricing models relative to the Fama-French three-factor model (FF3) and the extensions to the FF3. We find that the liquidity-augmented capital asset pricing model (LCAPM) performs no worse but generally better than other...