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金融行业股票市场的流动性溢价理论探讨

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摘要 本文利用高频日度数据和月度数据,对金融行业股票市场的流动性溢价理论做了具体分析。由于数据有限,本文只是选取了有关流动性的部分指标进行分析:IllqMA(Amihud2002)非流动性指标、换手率、股票月均成交额、股票总市值四个因素。同时,选取的金融行业07年4月之前上市的14只股票。通过建立面板数据模型实证分析得出,金融行业股票流动性降低时,金融行业股票的预期收益率会增加,虽然增加的幅度不是很大,但是金融行业股票的流动性溢价仍然显著。
作者 段文 唐晓龙
出处 《商情》 2014年第12期10-10,共1页
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