多维度视角下A股市场的流动性溢价  

Liquidity Premium on the A-share Market

作　　者：赵胜民 李明洋 

机构地区：[1]南开大学金融学院

出　　处：《金融市场研究》2022年第3期87-97,共11页Financial Market Research

摘　　要：本文着眼于流动性与股票预期收益率的内在联系,基于流动性四维理论构建综合非流动性指标,实证验证了中国A股市场存在显著的流动性溢价:在控制各类定价因素后,综合非流动性指标与股票预期收益率显著正相关。同时,传统的多因子模型无法解释流动性溢价组合所带来的超额收益。This article focuses on the internal relationship between liquidity and expected returns on stock investments. Based on a four-dimensional liquidity theory, it constructs a comprehensive illiquidity indicator and demonstrates that there is a significant liquidity premium on the Chinese A-share market.Under a scenario where various pricing factors are controlled, the illiquidity indicator still shows a positive correlation with the return on stocks. Meanwhile, traditional multi-factor models fail to explain the excess returns of the liquidity premium portfolio.

关 键 词：流动性溢价 流动性四维理论 综合非流动性指标 多因子模型 

分 类 号：F832.51[经济管理—金融学]