股票流动性与资产流动性的相关性——理论与实证分析  

Stock liquidity and asset liquidity——Theory and empirical analysis

作　　者：潘宁宁[1] 朱宏泉[1] 陈林[1] 

机构地区：[1]西南交通大学经济管理学院,成都610031

出　　处：《系统工程理论与实践》2011年第4期710-720,共11页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(70971110);教育部人文社科规划基金(09YJA790169);教育部长江学者和创新团队发展计划(IRT0860)

摘　　要：从公司财务的视角探讨资产流动性对股票流动性的影响:一方面,资产的流动性越高,现有资产的不确定性就越低,因而股票的流动性越好;另一方面,高的资产流动性也会带来投资机会的增加,导致未来现金流的不确定性增大,从而降低股票的流动性.因此,理论上资产流动性与股票流动性间存在不确定性.基于中国证券市场的结构特征,首先从理论上探讨了资产流动性与股票流动性间的相关性及其作用机理,以及不确定性的产生根源;其次,以A股上市公司为样本,实证分析了资产流动性与股票流动性间的相关性.结果表明:在我国证券市场中股票流动性与资产流动性显著正相关,资产的流动性越高,股票的流动性也越好.进一步,小规模、低成长型和融资受限的公司,二者间的正相关性更强.研究结果对正确评价企业投融资决策、资产定价和股票的流动性、流动性风险均具有一定的参考价值.This paper investigates the correlation of asset liquidity and stock liquidity,thereby linking stock liquidity to corporate finance decisions.Usually,higher asset liquidity,lower the uncertainty of asset-inplace, and then more liquid of stock is.But at the same time,higher asset liquidity also implies more future investment opportunities,which leads to greater uncertainty about future cash flow and hence lowers the stock liquidity.Therefore,the relationship between asset liquidity and stock liquidity is ambiguous.In this paper,we introduce a theoretical model to explore the ambiguous relationship.It shows that asset liquidity improves stock liquidity more for firms which are less likely to reinvest their liquid assets.Empirically,our results show that in Chinese stock market,the relationship between asset liquidity and stock liquidity is significantly positive.Furthermore,the positive relationship is stronger for small firms,non-state-owned firms and firms with less growth opportunities.The relation between asset liquidity and stock liquidity that we uncover sheds new light on the importance of firm＇s investment and financing decisions,and asset pricing and liquidity risk management.

关 键 词：资产流动性 股票流动性 现金 ILLIQ 

分 类 号：F830.91[经济管理—金融学]