CAJ | 학술논문

选择适当的工具一直是条件资产定价研究的中心，目前国内外尚没有研究从这个角度探讨流动性对资产定价的影响。本文在Breeden-Lucas随机折现因子框架下建立了以市场流动性为工具的条件CAPM，并使用1996．1．2-2004．12．31期间的沪深A股日度交易数据构造了Amihud（2002）的非流动性测度、Farm-French组合、定价因子等。一阶段GMM估计表明，该滞后工具可有效捕获资产回报的可预测变化。模型解释这种变化的能力显著优于Fama-French三因子模型和CAPM．且几乎没有统计显著的残留规模效果和价值效果。
선택괄당적공구일직시조건자산정개연구적중심，목전국내외상몰유연구종저개각도탐토류동성대자산정개적영향。본문재Breeden-Lucas수궤절현인자광가하건립료이시장류동성위공구적조건CAPM，병사용1996．1．2-2004．12．31기간적호심A고일도교역수거구조료Amihud（2002）적비류동성측도、Farm-French조합、정개인자등。일계단GMM고계표명，해체후공구가유효포획자산회보적가예측변화。모형해석저충변화적능력현저우우Fama-French삼인자모형화CAPM．차궤호몰유통계현저적잔류규모효과화개치효과。
Choosing an adequate instrument has been a focus in conditional asset pricing research. Till now, few researchers have discussed the effect of liquidity on asset pricing from this viewpoint. Departure from the framework of Breeden-Lucas Stochastic Discount Factor （SDF）, our paper tries to establish a conditional CAPM with market liquidity serving as an instrument. Using the A stock＇s daily trading data from Jan.2, 1996 to Dec 31, 2004 of the two Chinese stock exchange markets, including Shanghai and Shenzhen, we construct illiquidity measure, Fama-French 5-by-5 portfolios and pricing factors, with which we perform a GMM estimation. Our empirical analysis shows that lagged instrument can effectively capture predictable variation of asset returns. The conditional model presents more significant power than Fama-French＇s three-factor model as well as the traditional CAPM, and exhibits little evidence of residual size or book-to-market effects.