基于流动性溢价视角下FF三因子模型在我国股票市场中的调整研究

The Adjustment Research of FF Three-Factor Model in China’s Stock Market Based on the Liquidity Premium Perspective

在Amihud研究的基础上构造了非流动性比率作为衡量股票市场流动性的指标,并验证了我国股票市场流动性溢价现象的存在。该现象对传统的资产定价模型造成了很大的冲击,传统的FF三因子模型无法解释流动性溢价现象,依照FF三因子模型中公司规模效应因子和账面市值比效应因子的思路构造了流动性因子,并将流动性因子融入到传统的FF三因子模型中。实证结果表明调整之后的FF三因子模型能够充分地解释流动性溢价现象,在研究过程中还证实了小公司效应和高账面市值比效应理论。

Based on Amihud’s research,the paper constructs illiquidity as a measure of stock market’s liquidity and proves the existence of liquidity premium in China’s stock market,which causes a great impact on traditional asset pricing model.As the liquidity premium phenomenon can not be explained by the FF three-factor model,the paper constructs the liquidity factor according to the idea of scale factor and book-to-market effect factor in FF three-factor model.Besides,the liquidity factor is added to the FF three-factor model.The empirical result shows the liquidity premium phenomenon can be well explained by the adjusted FF three-factor model,and the effect of small companies and high book-to-market effect theory are also confirmed in the research.