流动性与资产定价:基于我国股市资产换手率与预期收益的实证研究  

Liquidity and Asset Pricing: An Empirical Exploration of Turnover and Expected Returns on Chinese Stock Markets

作　　者：苏冬蔚[1] 麦元勋[1] 

机构地区：[1]暨南大学经济学院,510062

出　　处：《经济研究》2004年第2期95-105,共11页Economic Research Journal

基　　金：国家自然科学基金(项目批准号为 70 30 30 12);教育部人文社科基金的研究资助 (项目批准号 0 2JA790 0 2 9)

摘　　要：流动性与资产定价是目前金融研究的热点之一 (O’Hara,2 0 0 3 )。本文通过检验交易频率零假设和交易成本备择假设 ,深入分析我国股市流动性与资产定价的理论与经验关系 ,发现 :我国股市存在显著的流动性溢价 ,换手率低、交易成本高且流动性小的资产具有较高的预期收益 ;产生流动性溢价的原因是交易成本而不是交易频率 ;与国外股市相似 ,小企业收益率高于大企业 ,价值股收益率高于成长股。因此 ,我国股市并非令人无法捉摸 ,流动性。To explore the empirical relationship between liquidity and expected returns on Chinese stock markets, we test the trading frequency null hypothesis against the transaction cost alternative. We find that liquidity premiums exist in Chinese stock markets - assets with lower turnover ratios, higher transaction costs and hence lower liquidity have higher expected returns. In addition, the trading frequency null can be overwhelmingly rejected in favor of the transaction cost alternative, suggesting that cross-sectional variation in transaction costs is the root cause for liquidity premiums. Finally, we find similar evidence to the U.S. stock markets and elsewhere that small firms and value stocks consistently earn higher liquidity risk-adjusted returns than large firms and growth stocks.

关 键 词：流动性 中国 股票市场 资本资产定价模型 CAPM 股票价格 指令驱动交易制度 换手率 交易成本 

分 类 号：F830.91[经济管理—金融学]