我国流动性调整下的CAPM研究

Abstract

运用Amihud的非流动性比率衡量流动性,并证实了我国股票市场存在流动性溢价现象。流动性溢价现象对现有的资产定价模型造成了很大的冲击,因为传统的资产定价模型并没有考虑也无法解释流动性溢价的问题。文章借鉴并改进了Liu的方法求得流动性因子,从而构建了流动性调整下CAPM模型(LCAPM),并研究发现LCAPM能够充分解释流动性溢价现象。此外,用LCAPM模型解释我国股票市场的规模效应、账面市值比效应和短期收益反转等市场异象,发现该模型能够解释这些传统定价模型所无法解释的异象,从而对我国的资产定价提供一定的指导意义。

Using Amihud's illiquidity,the paper proves the liquidity premium existing in our stock market. Liquidity premium has made great impacts on the present asset pricing models,because the traditional asset pricing models haven't considered and are unable to explain the premium. We use and improve Liu's method to obtain the liquidity factor and construct the liquidity-adjusted capital asset pricing model(LCAPM),which is found to be able to explain the liquidity premium. In addition,the model is applied to explain the market anomalies,such as size effect,book-to-market effect and short term return reversal. The research shows that all of the anomalies are able to be explained by LCAPM,but not by CAPM and Fama-French three -factor model. So the LCAPM will make some contribution for asset pricing methods in China.