流动性风险与股票收益率  

Liquidity Risk and Stock Return

作　　者：吴云峰[1] 宋逢明[1] 

机构地区：[1]清华大学经管学院,北京100084

出　　处：《运筹与管理》2007年第2期117-122,共6页Operations Research and Management Science

摘　　要：文运用两阶段回归方法,利用上海证券交易所和深圳证券交易所的A股交易数据,针对流动性风险与股票收益率之间的关系进行了实证检验。在把流动性风险分解成系统流动性风险和个体流动性风险以后,作者发现无论是系统流动性风险还是个体流动性风险都对股票收益率有显著的影响;并且与成熟市场不同的是,在中国市场上个体流动性风险对收益率的影响比系统流动性风险的影响要更显著。因此在今后研究中国股市的流动性定价时,研究人员需要考虑个体流动性风险才能够对股票收益率进行更好的解释。This paper examines the relationship between liquidity risk and stock return with the trade data of the A shares in ShangHai Stock Exchange and Shenzhen Stock Exchange. The method used in this paper is two-pass cross-section regression. After decomposing the liquidity risk into systematic liquidity risk and individual liquidity risk, we find that both risks have significant effect on the stock return. What is different from empirical evidence in developed markets is that individual liquidity risk has more significant effect on stock return than systematic liquidity risk in both Chinese stock markets. Therefore future research on the liquidity pricing in Chinese stock market has to consider factors of individual liquidity risk.

关 键 词：金融学 流动性风险定价 两阶段回归 个体流动性风险 

分 类 号：F830.91[经济管理—金融学]