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.
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. Economic Survey, 2011, 28(6): 0151.
2011, Vol. 28 
