我国流动性调整下的CAPM研究被引量：38

Liquidity-adjusted Capital Asset Pricing Model in China

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摘要运用Amihud的非流动性比率衡量流动性,并证实了我国股票市场存在流动性溢价现象。流动性溢价现象对现有的资产定价模型造成了很大的冲击,因为传统的资产定价模型并没有考虑也无法解释流动性溢价的问题。文章借鉴并改进了Liu的方法求得流动性因子,从而构建了流动性调整下CAPM模型(LCAPM),并研究发现LCAPM能够充分解释流动性溢价现象。此外,用LCAPM模型解释我国股票市场的规模效应、账面市值比效应和短期收益反转等市场异象,发现该模型能够解释这些传统定价模型所无法解释的异象,从而对我国的资产定价提供一定的指导意义。 Using Amihud＇s illiquidity, the paper proves the liquidity premium existing in our stock market. Liquidity premium has made great impacts on the present asset pricing models, because the traditional asset pricing models haven＇t considered and are unable to explain the premium. We use and improve Liu＇s method to obtain the liquidity factor and construct the liquidity-adjusted capital asset pricing model （LCAPM）, which is found to be able to explain the liquidity premium. In addition, the model is applied to explain the market anomalies, such as size effect, book-to-market effect and short term return reversal. The research shows that all of the anomalies are able to be explained by LCAPM, but not by CAPM and Fama-French three -factor model. So the LCAPM will make some contribution for asset pricing methods in China.

作者陈青李子白

机构地区厦门大学金融系

出处《数量经济技术经济研究》 CSSCI 北大核心 2008年第6期66-78,共13页 Journal of Quantitative & Technological Economics

基金福建省2007年度社会科学规划重点项目基金资助(项目编号:2007A008)

关键词流动性溢价市场异象流动性因子 LCAPM Liquidity Premium Market Anomalies Liquidity Factor LCAPM

分类号 F830.91 [经济管理—金融学]

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参考文献17

1Amihud, Y. , and H. Mendelson, Asset pricing and the bid-ask spread [J], Journal of Financial Economics. 1986, 17: 223-249.
2Arnihud, Y. , Illiquidity and stock returns: cross-section and time-series effects [J], Journal of Financial Markets, 2002, 5:31-56.
3Avramov, D. , Chordia, T. , and Goyal, A. , Liquidity and autocorrelations in individual stock returns [J], Journal of Finance. 2006, 61: 2365-2394.
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二级参考文献71

1上海交通大学金融工程研究中心课题组(2002).“市场流动性与市场微观结构有关——涨跌幅限制与股价变动研究”上海证券交易所联合研究报告[N].《上海证券报》,2002年4月16日.
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3Amihud, Y. (2002): "Illiquidity and Stock Returns: Crosssection and Time-series Effects", Journal of Financial Markets,5: pp. 31--56.
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8Datar, V. T., N. Y. Naik, and R. Radcliffe(1998):"Liquidity and Stock Returns: An Alternative Test", Journal of Financial Markets, 1, pp. 203-- 219.
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