中国股市流动性指标定价研究
首发时间:2019-12-17
摘要:流动性风险是资产定价研究的重要风险因素。本文通过选取换手率、成交额、Amihud非流动性指标ILLIQ和零交易天数作为衡量流动性的指标,修正Fama-French三因子模型,并分析比较4种指标的定价效果。本文还采用分位数回归来研究在不同收益率水平下,4种指标的适用性。研究结果表明:我国沪深A股和创业板市场存在流动性溢价现象,流动性是有效的定价因子;从规模水平看,换手率与Amihud非流动性指标在整个市场上表现良好,成交额与零交易天数表现不佳;从收益率水平来看,换手率适用于低收益率股票,Amihud非流动性指标适用于中收益率股票,零交易天数适用于高收益率股票,成交额则在整个收益率水平下都不显著;股票预期收益率与流动性负相关。
关键词: 资产定价 Fama-French三因子模型 流动性
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Empirical Test on the Pricing of Liquidity Measures in Chinese Stock Market
Abstract:Liquidity risk is an important risk factor in asset pricing.In this paper, turnover rate, transaction volume, Amihud illiquidity index ILLIQ and zero trading days are selected as liquidity indicators to modify the Fama-French three-factor model and analyze and compare the pricing effects of the four indicators.In this paper, quantile regression is also used to study the applicability of the four indicators at different rates of return.The results show that liquidity premium exists in Chinastock market, and liquidity is an effective pricing factor.From the scale level, turnover rate and Amihu illiquidity index performs well in the whole market, while turnover volume and zero trading days performs poorly.From the level of yield, the turnover rate is applicable to low-yield stocks. Amihud\'s illiquidity index is applicable to medium-yield stocks. Zero trading days are applicable to high-yield stocks, and the turnover amount is not significant at the whole yield level. Expected stock returns are negatively correlated with liquidity.
Keywords: Asset pricing Fama-French 3-Factor model Liquidity
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