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| Relationship among the Risk Factors in Chinese Stock Market |
| ZHOU Fang, ZHANG Wei, ZHANG Xiao-Tao |
| Tianjin University, Tianjin， China |
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Abstract Based on the traditional multiple regression model, we discuss the relationship among the risk factors such as firm size, booktomarket ratio and liquidity in Chinese stock market by using the dynamic regression model and quantile regression model. Our results show that, while the lagged effect of liquidity on firm size and book-tomarket ratio is considered, there is a significant positive correlation between firm size and liquidity and a significant negative correlation between book-to-market ratio and liquidity. This reveals the reason of that liquidity premium theory can explain size effect and value effect.
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Received: 20 May 2012
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2012, Vol. 9 
