systematically priced in the cross-section of stock returns in China. We find that return dispersion carries a positive price of risk … effect is robust to alternative portfolio sorts based on the well-established risk factors as well as industry portfolios. We … that end, return dispersion serves as a more meaningful proxy for risk in this emerging market that has experienced a …

institutional ownership, and fewer shareholders. Furthermore, those stocks have higher market risk and liquidity risk according to ….19% per month and the risk adjusted UEL premium by the 6-factor (Fama and French (2015) five factor plus a momentum factor … investor attention. Finally, we find UEL fails to subsume the explanatory power of liquidity risk on cross-sectional stock …