隐性交易成本与资产定价的实证研究

Implicit Transaction Cost and Asset Pricing

本文利用上证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。研究结果发现: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,隐性交易成本很可能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,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是线性负相关关系,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 data of 180 Index from Shanghai Stock Exchange, this paper estimates the implicit transaction cost and investigates the relationship between asset pricing and implicit transaction cost. We draw several conclusions. （i）There is apparently negative linear relationship among turnover, implicit transaction cost, size of equity and return. The implicit transaction cost influents stock return through cost of liquidity depth during the decreasing period of return. （ii） Size of equity and turnover have greater effect on asset return than implicit transaction cost since both variables have prominent relationship with cost of liquidity depth. （iii） The negative relationship between implicit transaction cost and size of equity is generally linear, while the segmental negative relationship is concave or convex.