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

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、规模和价值效应都是资产定价的因素

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

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.