中国股票市场流动性溢价风险的实证研究——基于自由流通额调整的收益模型(FARM)

The Empirical Research on Liquidity Premium of China’s Stock Market——Based on Float Adjusted Return Model

2005年,Weill提出自由流通量调整的收益模型(Float-Adjusted Return Model,FARM),该模型假设系统流动性风险为资产价格唯一的风险因子,资产的流动性价差与其自由流通额的倒数成比例。中国股票市场全流通条件下的股本结构为利用FARM模型研究流动性风险与流动性溢价提供了十分有利的条件。利用自由流通额等指标扩展FARM建立实证研究模型,并利用中国股票市场样本数据对我国股市流动性溢价问题进行实证研究。研究表明自由流通额可以用来衡量各股票及市场的流动性水平,市场规模对我国股市收益的横截面变差仍具有明显的解释力度,我国股票市场存在"规模效应",但"价值效应"在样本期内没有表现出来。

In 2005,Weill proposed the free float adjusted return model(FARM),this model assumes that systematic liquidity risk is the only risk factor in asset prices,and the liquidity spread of an asset is proportional to the inverse of its dollar free float.The whole circulation structure in Chinese stock market provides very favorable conditions to use the FARM model to research liquidity risk and liquidity premium.This article uses free float and other indicators to practice the FARM,and the empirical research is based on the sample data in Chinese Stock Market.The results of the empirical research found that dollar free float can be used to measure the liquidity level of the stock and the market."Market size" still has significant explanatory power in cross-sectional variation among stocks.There is a "scale effect" in our stock markets,but "value effect" has not been shown in the sample period.