特质流动性风险与资产定价研究—基于中国A股市场数据
Empirical Research on Idiosyncratic Liquidity Risk and Asset Pricing—Based on Data of China’s A-Stock Market
摘要: 有关流动性的资产定价研究大多仅关注系统性流动风险，而忽略了特质流动性风险的影响。本文构造股票特质流动性风险因子，分别使用变量组合法和Fama-MacBeth二阶段截面回归方法检验特质流动性风险因子对中国A股市场股票定价的作用。实证结果显示，在横截面上个股非流动性水平和特质流动性风险对中国股票收益率保持着稳定显著的正向作用，但影响力并不高。同时显示相对美国市场而言，中国股票个股流动性对市场整体流动性变动的敏感度相对较高，个股流动性波动受市场基本面因素的影响更为强烈。
Abstract: This paper investigates the effect of idiosyncratic volatility of liquidity on asset pricing based on data of China’s A-stock market. Portfolio analysis and Fama-MacBeth two-stage regression methods are applied in the empirical analysis. It turns out that in China’s stock market, both idiosyncratic illiquidity and idiosyncratic volatility of liquidity present significant and stable positive correlations with the stock returns. Our findings in Chinese market are consistent with those of US markets, which bring future insights that idiosyncratic risk of liquidity matters in asset pricing.
文章引用：梁建峰, 许绮雯. 特质流动性风险与资产定价研究—基于中国A股市场数据[J]. 金融, 2018, 8(4): 161-168. https://doi.org/10.12677/FIN.2018.84019

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