流动性和条件资产定价:理论和实证检验

Liquidity and Conditional Asset Pricing:Theory and Empirical Test

选择适当的工具一直是条件资产定价研究的中心,目前国内外尚没有研究从这个角度探讨流动性对资产定价的影响。本文在Breeden-Lucas随机折现因子框架下建立了以市场流动性为工具的条件CAPM,并使用1996.1.2-2004.12.31期间的沪深A股日度交易数据构造了Amihud(2002)的非流动性测度、Fama-French组合、定价因子等。一阶段GMM估计表明,该滞后工具可有效捕获资产回报的可预测变化,模型解释这种变化的能力显著优于Fama-French三因子模型和CAPM,且几乎没有统计显著的残留规模效果和价值效果。

Choosing an adequate instrument has been a focus in conditional asset pricing research. Till now, few researchers have discussed the effect of liquidity on asset pricing from this viewpoint. Departure from the framework of Breeden-Lucas Stochastic Discount Factor （SDF）, our paper tries to establish a conditional CAPM with market liquidity serving as an instrument. Using the A stock＇s daily trading data from Jan.2, 1996 to Dec 31, 2004 of the two Chinese stock exchange markets, including Shanghai and Shenzhen, we construct illiquidity measure, Fama-French 5-by-5 portfolios and pricing factors, with which we perform a GMM estimation. Our empirical analysis shows that lagged instrument can effectively capture predictable variation of asset returns. The conditional model presents more significant power than Fama-French＇s three-factor model as well as the traditional CAPM, and exhibits little evidence of residual size or book-to-market effects.