个股特质流动性风险与资产定价—基于中国A股市场的实证研究 Idiosyncratic Liquidity Risk and Asset Pricing—An Empirical Research Based on Data of China’s Stock Market

传统观点认为通过充分分散投资，资产的个股特质流动性风险可被完全对冲，因此资产定价研究主要探讨系统流动性风险溢价。然而，最新文献成果验证了美国股票市场个股特质流动性风险与股票价格的显著相关关系，令个股特质流动性风险因子受到学术关注。本文通过横截面分析和时间序列回归研究中国A股市场个股特质流动性风险的定价作用。结果显示中国A股市场特质流动性波动率是相对独立的风险因子且与资产收益率呈显著正相关；经典定价模型加入个股特质流动性风险因子后对中国A股市场的解释力和资产定价效率均得到提高。 It is well accepted that in a well-diversified portfolio, only systematic liquidity risk affects asset returns. However, recent research finds out that idiosyncratic liquidity risk is positively priced in the cross-section of stock returns in US stock market. This paper defines idiosyncratic volatility of liquidity as a proxy for idiosyncratic liquidity risk, and investigates the effect of idiosyncratic vo-latility of liquidity on asset pricing based on data of China’s stock market. It turns out that in China’s stock market, idiosyncratic volatility of liquidity is a relatively independent variable, and it presents significant and stable positive correlation with the stock return.