流动性风险与资产定价:来自中国股市的证据

Asset Pricing with Liquidity Risk:Evidence from Chinese Stock Market

LCAPM(基于流动性风险的CAPM模型)是Acharya和Pedersen(2005,JournalofFinancialEconomics)提出的,它将流动性风险可能影响资产价格的多种方式纳入一个统一的框架。本文利用LCAPM对中国股市进行检验,在该模型中,证券的收益依赖于它的期望流动性及其与收益(包括个股与市场收益)之间的协方差。检验结果发现,我国股市的风险升水在大盘升降区间体现了不同的特征;无论在总区间还是分时段,LCAPM都能更好的拟合资产收益;在控制公司规模之后,效果依然稳健。这说明流动性在我国股市的资产定价上有重要影响。

The Liquidity-adjusted CAPM （LCAPM） is first advocated by Acharya and Pedersen （2005, Journal of Financial Economics）. LCAPM provides a unified framework for understanding the various channels through which liquidity risk may affect asset prices. This paper use the data of Chinese stock market to test LCAPM, in which a security＇s required return depends on its expected liquidity as well as on the covariances of its own return and liquidity with the market return and liquidity. The results show that the liquidity risk has different characteristic under different market state. The LCAPM can fit the real data better than the CAPM in spite of the time period. After the size of firm is controlled, the results keep robust. There is important effect of liquidity on the asset pricing in Chinese stock market.