摘要
在对流动性、公司规模和账面市值比进行平稳性和协整性检验的基础上,运用广义脉冲响应函数,研究了流动性、公司规模和账面市值比之间的动态关系.研究发现,流动性对公司规模和账面市值比的影响是长期的,而公司规模和账面市值比对流动性的影响则是短期的.这表明在解释资产收益方面,流动性因素对公司规模和账面市值比具有替代作用.
Based on the testing for stationary and co-integration of liquidity, firm size and book-to-market ratio, the paper studies the dynamic relationship among liquidity, firm size and book-to-market ratio by applying generalized impulse-response function. It is found that liquidity affects firm size and book-to-market ratio with a longer continuity than the effect of firm size and book-to-market ratio on liquidity. This indicates that liquidity can be a surrogate for firm size and book-to-market ratio in explaining asset returns.
出处
《系统工程学报》
CSCD
北大核心
2012年第4期498-505,共8页
Journal of Systems Engineering
基金
国家自然科学基金重点资助项目(71131007)
教育部"创新团队发展计划"资助项目(IRT1028)
关键词
流动性
公司规模
账面市值比
脉冲响应
liquidity
firm size
book-to-market ratio
impulse-response
