一、主讲学生与论文题目：

刘俊（2015级博士生）

Paper 1: How is Liquidity Priced in the Chinese Stock Market?

Paper 2: News tone, Investor sentiment, and Liquidity premium

Paper 3: Does Stock Liquidity Explain the A-H Premium? Evidence from Chinese Cross-Listed Stocks

二、时间：2025年4月28日（周一）晚上19:00-21:00

三、地点：腾讯会议

四、点评与讨论教师：

夏聪 中央财经大学皇冠足球比分 副教授

张欣然 中央财经大学皇冠足球比分 副教授

田诗文 中央财经大学皇冠足球比分 助理教授

五、主持人：夏聪 中央财经大学皇冠足球比分 副教授

六、论文摘要

Paper 1: How is Liquidity Priced in the Chinese Stock Market?

This study uses a comprehensive range of liquidity variables to investigate the liquidity premium in the Chinese stock market. Even after controlling for other firm characteristics and risk factors, our analysis reveals a robust positive correlation between stock illiquidity and expected return. The characteristic-based premium shows a monotonic increase in portfolios sorted by levels of illiquidity, with mean returns in long--short strategies ranging from 0.6% to 2.0% per month. Moreover, a similar pattern occurs when the liquidity beta is used to capture the systematic risk associated with market liquidity. Our findings indicate that regardless of liquidity levels, the liquidity beta is a distinct pricing factor with a significant risk-based premium. Our decomposition analysis indicates that idiosyncratic volatility, firm size, and liquidity beta can significantly affect characteristic-based premiums.

Paper 2: News tone, Investor sentiment, and Liquidity premium

This study reveals a nuanced, inverse U-shaped relationship between firm-specific news sentiment FSNS and stock market liquidity. It suggests that moderate sentiment initially increases liquidity by stimulating trading activity and reducing price impact and spread, while extreme sentiment ultimately reverses this effect. This parabolic pattern also exists in the liquidity premium using portfolio analysis, indicating premiums dependent on sentient changes. The portfolio analysis reveals that a U-shaped relationship emerges in liquidity premiums, with investor require more compensation for low liquidity at extreme sentiments. After decomposing the liquidity into non-sentiment components, the diminished premium confirms the significant influence of FSNS on liquidity premiums. The non-sentiment liquidity maintains its significant role in driving the stock prices.

Paper 3: Does Stock Liquidity Explain the A-H Premium? Evidence from Chinese Cross-Listed Stocks

This study investigates how stock liquidity impacts the price premiums of crosslinked A-H shares, using data from 2006 to 2021. The results show that differences in liquidity between A- and H-shares significantly influence the A-H premium and its dynamics. Time series regression analysis reveals notable autocorrelation in the A-H premium, with the Amihud ratio being crucial to the auto-regressive coefficient (AR). Specifically, a one standard deviation increase in the Amihud ratio raises the AR by 0.064 and leads to substantial reductions in the A-H premium --- 54.2% in cross-sectional analysis and 63.6% in Fama-Macbeth regressions. The lower liquidity in A-shares relative to H-shares reduces the A-H premium. Additionally, the H-share Amihud measure has a significantly greater impact on the A-H premium than the A-share. Our analysis highlights various channels through which liquidity affects the premium.

备注：中财-蒂尔堡项目闭门论坛，仅限项目师生参加

撰稿：张莹

审核：魏旭