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Investigators at Jimei University Report Research in Economic Modelling


  2012 APR 27 - (VerticalNews.com) -- According to the authors of recent research from Xiamen, People's Republic of China, "This paper derives a liquidity-adjusted conditional two-moment capital asset pricing model (CAPM) and a liquidity-adjusted conditional three-moment CAPM respectively based on theory of stochastic discount factor."

  "The liquidity-adjusted conditional two-moment CAPM shows that a security's conditional expected excess return consists of three parts: its conditional expected liquidity cost, the systemic risk premium and the liquidity risk premium," wrote J.A. Wang and colleagues, Jimei University.

  The researchers concluded: "The liquidity-adjusted conditional three-moment CAPM shows that a security's conditional expected excess return depends on its conditional expected liquidity cost, the conditional covariance between its return and the market return, the conditional covariance between its liquidity cost and the market liquidity cost, and the conditional coskewness of its return and the market return."

  Wang and colleagues published their study in Economic Modelling (Liquidity-adjusted conditional capital asset pricing model. Economic Modelling, 2012;29(2):361-368).

  For additional information, contact J.A. Wang, Jimei Univ, Finance & Econ College, Xiamen 361021, People's Republic of China.

  Publisher contact information for the journal Economic Modelling is: Elsevier Science Bv, PO Box 211, 1000 Ae Amsterdam, Netherlands.

  Keywords: City:Xiamen, Country:People's Republic of China, Region:Asia

  This article was prepared by VerticalNews Economics editors from staff and other reports. Copyright 2012, VerticalNews Economics via VerticalNews.com.

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