| 上海股票市场系统流动性风险溢价研究 |
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| 引用本文： | 刘洋,刘善存.上海股票市场系统流动性风险溢价研究[J].管理学报,2008,5(2):263-268. |
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| 作者姓名： | 刘洋 刘善存 |
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| 作者单位： | 北京航空航天大学经济管理学院 |
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| 基金项目： | 国家自然科学基金资助项目(70671006)，北京市自然科学基金资助项目(9072009)，全国优秀博士论文作者专项基金资助项目(200466) |
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| 摘 要： | 以收益率与系统流动性因子的β值作为系统流动性风险的代理变量,按照FF三因素模型的方法,将账面市值比替换成β值,构建新的包含市场超额收益、公司规模和β值的三因素模型,研究系统流动性风险与我国股市超额收益的关系。上证50指数成分股的实证结果表明,系统流动性风险对我国股市超额收益有显著影响,β值为正的股票获得正的系统流动性风险溢价,而β值为负的股票获得"负"溢价。
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| 关 键 词： | 系统流动性 β值 流动性溢价 FF三因素模型 |
| 文章编号： | 1672-884X(2008)02-0263-06 |
| 修稿时间： | 2007年5月14日 |
The Systematic Liquidity Risk and Premium of Shanghai Stock Exchange |
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| LIU Yang,LIU Shancun.The Systematic Liquidity Risk and Premium of Shanghai Stock Exchange[J].Chinese JOurnal of Management,2008,5(2):263-268. |
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| Authors: | LIU Yang LIU Shancun |
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| Abstract: | Taking the beta values of stock return and systematic liquidity factor(L)as the proxy for systematic liquidity risk,the systematic liquidity risk and its relation to the stock excess return were studied.According to the method of FF three-factor model,BM ratio was replaced into the beta value to construct a new three-factor model,in which the market excess return,size and beta were included.The empirical results show that systematic liquidity risk significantly affects the stock excess return of SSE.The stocks with the positive betas have positive premium,and those with negative betas have negative premium. |
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| Keywords: | systematic liquidity Beta value liquidity premium FF three-factor model |
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