摘要
资产流动性的高低是否影响资产的价格一直是资本市场理论研究的热点问题,也是投资者决策的重要理论依据之一。本文根据股票市场流动性溢价原理,选取换手率与Amivest流动比率作为股票流动性的衡量指标,采用LR两阶段截面回归方法与似无关回归(SUR)估计法,对上海股票市场的股票流动性与预期收益率的关系进行了实证研究。结果表明,上海股票市场存在显著的流动性溢价,换手率低或Amivest流动比率低,流动性较差的资产具有较高的预期收益。研究同时发现,上海股票市场具有很强的规模效应和价值效应。
Whether the degree of stock liquidity affects stock price is an important issue about capital market theory, and about investors＇decision - making. According to stock market liquidity premium theory, selecting turnover ratio and Amives liquidity ratio to measure stock liquidity, using LR two- stage cross- sectional regression and seemingly unrelated regression method, this paper studies the relationship between liquidity and expected return in Shanghai stock market. The result shows liquidity premiums exist in Shanghai stock market-assets with lower turnover ratios or Amivest liquidity ratio, hence lower liquidity have higher expected returns. This paper also finds that scale effect and value effect exist in Shanghai stock market.
出处
《数量经济技术经济研究》
CSSCI
北大核心
2005年第9期143-154,共12页
Journal of Quantitative & Technological Economics
基金
教育部高校青年教师奖励基金资助。
