摘要
流动性是金融市场的基石,流动性溢价理论认为,投资者对于高流动性的金融资产具有偏好,对低流动性的资产要求更高的收益率作为补偿;但实证研究的结论并不一致.对此问题进行研究,通过模型说明,投资者对流动性具有不同的偏好,机构投资者更关心系统流动性风险,因此机构投资者对于系统流动性风险低的股票具有偏好;在此基础上,构建系统流动性风险代理变量,应用中国股票市场数据进行分析研究,发现我国市场存在负流动性溢价,而机构投资比例和公司股东人数对于系统流动性风险具有显著的影响.
The liquidity premium theory states that the return for stock with low liquidity must be higher as the investors prefer to hold the stock with high liquidity. However, some of the empirical researches do not support the theory. The difference of systematic liquidity and firm-specific liquidity is documented, and the importance of systematic liquidity to institutional investors is verified. Furthermore, this paper constructs measure for systematic liquidity, and analyzes the liquidity premium in Chinese stock market. As a conclusion, there exists negative liquidity premium in China Finally, the paper shows that the systematic liquidity risk for firm stock is associated with owner structure in the firm.
出处
《复旦学报（自然科学版）》
CAS
CSCD
北大核心
2014年第5期591-597,共7页
Journal of Fudan University：Natural Science
