基于因子模型的流动性对资产定价的影响研究

Research on the Effect of Liquidity on the Asset Pricing Based on the Factor Model

流动性是资产定价研究领域的重要议题。本文通过沪深A股2000年7月至2018年6月的个股数据,用换手率与Amihud指标测度流动性,运用Fama-MacBeth截面回归与构造投资组合进行时间序列回归的方法,比较两个指标作为流动性测度的实证表现,构造流动性因子建立我国股市流动性扩展的六因子模型。研究结果表明,我国股市存在流动性溢价;换手率比Amihud指标更适合作为我国股市的流动性定价指标;换手率测度流动性水平构建流动性扩展的六因子模型对我国股票市场收益特征的解释是有益的。

Liquidity is an important issue in the field of asset pricing research.This paper uses the Shanghai and Shenzhen A-share stock data from July,2000 to June,2018,measuring liquidity level with turnover rate and Amihud indicator through the Fama-MacBeth cross-section regression and constructing portfolio for time series regression.As the measurement of liquidity,the empirical manifestations are compared and it further establishes a Six-factor model of China's stock market liquidity expanding.The research results show that there is liquidity premium in Chinese stock market;the turnover rate is more suitable for the pricing indicator of China's stock market than Amihud indicator;the liquidity expanding Six-factor model established on the basis of turnover rate measurment is beneficial for the explanation of China's stock market returns.