..., the authors apply Fama and MacBeth’s regressions. Findings Firm-level asset pricing tests provide substantial evidence for market pricing of liquidity risk in China. The authors find a significant negative association between information quality and liquidity risk. The authors also find that the reduction...

.... Conclusions under normality vs under t can be drastically different for estimating expected returns and Jensen’s αs, and for testing asset pricing models. Practical implications The results provide improved estimates of cost of capital and asset moment parameters that are useful...