中国股票市场流动性风险溢价研究  

Study on Liquidity Risk Premium Based on Chinese Stock Market

作　　者：周芳[1] 张维[2] 

机构地区：[1]天津大学理学院 [2]天津大学管理与经济学部,天津300072

出　　处：《金融研究》2011年第5期194-206,共13页Journal of Financial Research

摘　　要：本文在对Fama三因素模型和LACAPM模型进行改进的基础上,实证研究了中国股票市场的流动性风险溢价、规模效应以及价值效应。实证结果发现,改进的FAMA三因素模型能够比CAPM更好地解释价值效应,但却不能解释规模效应和流动性风险溢价现象;而改进的LACAPM在解释市场异象上的有效性则明显优于其他定价模型。Based on the improving of Fama three-factor model and LACAPM, the paper empirically studies the liquidity risk premium, size effect and value effect in Chinese stock market. The empirical studies show that the improved Fama three-factor model can be better in explaining value effect than CAPM, but can not explain the size effect and liquidity risk premium, and the improved LACAPM has better performance than other models in explaining market anomalies.

关 键 词：流动性 风险溢价 CAPM模型 Fama三因素模型 LACAPM 

分 类 号：F224[经济管理—国民经济] F832.51