股票流动性与期望收益的关系研究

The Relationship between Liquidity and Expected Stock Returns

本文选取换手率作为股票流动性指标,采用FM两阶段截面回归方法研究了股票流动性与期望收益的关系。研究表明,我国股票市场流动性的波动较为稳定;股票流动性和期望收益的异常波动主要受政策的影响,但在周内的变化不存在系统性差异;上市公司的市场价值与股票收益无关;股票的流动性与期望收益负相关;投资者可以根据股票流动性与期望收益的关系套利。

By means of FM two steps crosssectional regression,this paper studies the relationship between liquidity and expected stock returns based on turnovers.The paper points out that the volatility of stock liquidity is small,the abnormal changes of liquidity and expected stock returns are mainly influenced by states policies,the market value and stock returns are irrelative,liquidity is negatively related with expected stock returns and investors can earn abnormal returns with the help of stock liquidity.