流动性及流动性的波动对资产定价的影响实证研究

发布时间：2018-05-27 15:43

本文选题：资产定价 + 流动性的波动　；参考：《天津大学》2012年硕士论文

【摘要】：传统的流动性资产定价描述的是流动性资产定价的期望方程，，并没有区分和刻画在不同分位数水平下资产定价机制和差异这就需要在收益率处于不同的分位数水平下，重新讨论资产定价与流动性水平的关系其次，流动性的波动一直困扰着投资者，因为投资者在随机时间点交易的时候可能关心的不仅仅是流动性的平均水平，还关心流动性的波动分布情况此外2008年金融危机之后资产流动性出现了下滑，股票流动性也出现了明显的下降，学术界对这两者是否存在关系也给予极大关注基于此本文展开了三个方面的讨论，具体如下： 1.运用分位数回归理论再研究流动性与资产定价之间的关系选择了2007-2010年间深沪两市A股的上市公司为研究对象，运用分位数回归方法对多因素资产定价模型进行回归检验研究结果发现当收益率处于中高分位水平时，运用非流动性指标去衡量流动性水平，能够更好的解释了资产定价包含流动性因子，即非流动性指标越大，相应的流动性水平越差，结果收益率越高而当收益率处于低分位数水平时，这时候运用换手率这一指标更好，因为低分位数时，收益率与换手率存在显著负相关 2.探讨流动性的波动之谜利用非流动性测量流动性水平和日内数据衡量流动性的波动,选取2000-2010年间深沪两市A股的上市公司为研究对象，利用Fama-MaBeth回归法和投资组合分析法对流动性的波动与股票横截面预期收益率实证研究研究发现流动性的波动与预期收益率存在正相关关系,但不是很显著研究表明产生这种现象的原因在于风险规避投资者认为流动性水平向下侧运动,持有流动性的波动较高的股票需要一个风险溢价 3.研究资产流动性与股票流动性的之间的关系通过借助公司财务决策这一桥梁将股票流动性与资产流动性联系起来构建理论模型理论模型中得出的结论是两者是否存在正相关或者负相关取决于参数的值，另外选取2006-2009年间944家A股上市公司的日内低频数据下非流动性指标来衡量股票流动性和三种资产流动性指标进行实证检验实证结果得出它们之间有较显著的正相关关系与理论模型一致，实证结果还表明，对低成长性和融资环境较差的企业，其正相关性更加突出最后利用理论模型揭示了上市公司再融资股票流动性前后变化原因以及现金对公司价值的贡献
[Abstract]:Traditional liquidity asset pricing describes the expectation equation of liquidity asset pricing, and does not distinguish and depict the asset pricing mechanism and differences under different quantile levels. Re-discuss the relationship between asset pricing and liquidity levels second, volatility of liquidity has been troubling investors, because investors may be concerned with more than just the average level of liquidity when trading at random points in time. Also concerned about the volatility of liquidity. In addition, after the financial crisis of 2008, the liquidity of assets declined and the liquidity of stocks declined markedly. Academic circles also pay great attention to the relationship between the two. Based on this, there are three aspects of the discussion, which are as follows: 1. Using the quantile regression theory to study the relationship between liquidity and asset pricing, the listed companies in Shenzhen and Shanghai stock markets from 2007 to 2010 were selected as the research objects. Using the quantile regression method to test the multi-factor asset pricing model, the results show that when the return rate is in the middle and high quartile level, the illiquidity index is used to measure the liquidity level. It can better explain that asset pricing contains liquidity factor, that is, the larger the illiquidity index, the worse the liquidity level, the higher the return rate is, and when the return rate is at low quantile level, It is better to use the turnover rate at this time, because there is a significant negative correlation between the return rate and the turnover rate at low quartiles. 2. This paper discusses the mystery of liquidity fluctuation using illiquidity measurement and intraday data to measure liquidity fluctuation, and selects listed companies in Shenzhen and Shanghai A stock markets from 2000 to 2010 as the research objects. By using Fama-MaBeth regression and portfolio analysis, the empirical study on the volatility of liquidity and the expected return of the cross-section of the stock shows that there is a positive correlation between the volatility of liquidity and the expected return. But less significant research suggests that the reason for this is that risk-averse investors think liquidity levels move downwards and that holding liquid stocks with higher volatility requires a risk premium. 3. To study the relationship between asset liquidity and stock liquidity. The conclusion in the theoretical model of the relationship between stock liquidity and asset liquidity is whether or not they are by means of the bridge of corporate financial decision. There is a positive correlation or a negative correlation depending on the value of the parameter, In addition, 944 A-share listed companies from 2006 to 2009 were selected to measure the stock liquidity and the three asset liquidity indicators under the intraday low frequency data. The empirical results show that there is a significant positive correlation between them. The relation is consistent with the theoretical model, The empirical results also show that the positive correlation of the firms with low growth and poor financing environment is more prominent. Finally, the reasons for the changes in liquidity of listed companies before and after refinancing and the contribution of cash to the value of the company are revealed by using the theoretical model.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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