系统流动性、个股流动性与资产定价——基于我国沪市上市公司的实证研究

摘要流动性是决定资产收益的重要变量之一，笔者主要通过数据的实证检验，验证市场流动性是否能完全解释流动性溢价，构建一个包含了Fama-French模型三因素和市场流动性因子的四因素模型，并利用上海证券交易所上市公司数据进行时间序列和面板数据分析，实证结果都支持了股票预期收益与流动性的强相关性。其中在时间序列检验中，从低流动性到高流动性资产组合中，两个模型的截距项都逐渐降低；进一步的GRS检验表明两个模型的截距都不同时显著为0，这都说明市场流动性因素不能完全涵盖个股流动性水平。

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	尹海员
	李忠民

关键词：证券市场流动性资产定价

Abstract： Liquidity is one of the important factors deciding returns on assets. Through an empirical test with data, the authors verified whether market liquidity can explain fluid premium completely, constructed a four factor model including the three factors of Fama French and the factor of market liquidity. The authors also made a time series and panel data analysis with the data of the listed companies in Shanghai Stock Market. The empirical results support the correlation between the prospective earnings of stocks and liquidity. In the time series test, in the asset portfolio from low liquidity to high liquidity, the intercept items of both models gradually reduce; further GRS test indicates that the intercept of neither models shows to be zero, which explained the market liquidity factors cannot cover the stock liquidity factor completely. Future researches should seek better unified asset pricing model to hold the influence of all liquidity characteristics on the earnings of assets.

Keywords： security market liquidity asset pricing

收稿日期 2011-03-08; 接受日期 2011-11-08;

基金资助:

教育部人文社科青年基金项目（06JC790027）；陕西师范大学211工程第三期建设项目。

作者简介: 尹海员（1979-）,男，山东日照人，经济学博士，陕西师范大学国际商学院讲师，主要从事行为金融学研究；李忠民（1966-），男，河南洛阳人，教授、博士生导师，陕西师范大学国际商学院院长，主要从事发展经济学研究。

引用本文:

尹海员, 李忠民.系统流动性、个股流动性与资产定价——基于我国沪市上市公司的实证研究[J]. 经济经纬, 2011,6: 151-155

YIN Hai yuan, LI Zhong min.Systematic Liquidity, Individual Liquidity and Asset Pricing——An Empirical Research Based on the Listed Companies of Shanghai Security Market[J] Economic Survey, 2011,V28(6): 151-155

链接本文:

http://www.jjjw.org.cn/CN/ 或 http://www.jjjw.org.cn/CN/Y2011/V28/I6/151