隐性交易成本与资产定价——基于上证180指数成份股票交易数据的实证研究

Implicit Transaction Cost and Asset Pricing: Evidence Based on Transaction Data of Stocks Index from Shanghai Stock Exchange 180 Index

文章利用上证180指数成份股票的高频数据计算隐性交易成本,探讨其与资产定价的关系。发现:(1)隐性交易成本与换手率、规模和收益率都存在着明显的线性负相关关系。在股票收益率下降时期,隐性交易成本通过流动性深度成本间接影响股票收益率。(2)较之隐性交易成本,规模因素与换手率因素对收益率的影响有着更好的测度性。很可能是因为这两个因素与流动性深度成本也有着显著相关性。(3)隐性交易成本与规模因素整体上呈线性负相关关系,分段上的关系则很可能是凹函数与凸函数的组合。

Based on high -frequency transaction data from stocks of Shanghai Stock Exchange 180 Index, this paper calculates the stocks＇ implicit transaction cost and discusses the relationship between asset pricing and implicit transaction cost. Several conclusions are drawn as follows： （ 1 ） There are apparent linear negative relationship among implicit transaction cost, size of equity and returns, and implicit transaction cost influences stock returns from cost of liquidity depth during the decreasing period of returns. （2） The size of equity and turnover rate have more effect on asset returns than implicit transaction cost, it is probably because both of the two variables have prominent relationship with cost of liquidity depth. （3） The negative relationship between implicit transaction cost and size of equity is linear, while the segmental negative relationship is concave or convex.