The Empirtcal Researh Of Liquidity Premium Based On LA-CAPM Model

Because of the limitations to the traditional theory of capital asset pricing, the research on the theory of liquidity premium becomes a hot issue in recent years. The foreign research on the theory of liquidity premium was mainly for the mature market of market maker rule. And the research about emerging markets is still lacking. The Domestic research on the theory of liquidity premium is still in the preliminary stage, most research is to learn from the foreign theoretical model and methods, testing for the liquidity premium of China’s securities market, Moreover, the research was mostly on the main board market, and rarely on small and medium-sized board market. Therefore, Building a suitable liquidity measure index to study liquidity premium phenomenon of our securities market is particularly important.This thesis aims to empirically test the liquidity premium effect of small and medium-sized market in our country, the empirical study launches from two directions, one is to construct appropriate liquidity factor index, another is to build model of liquidity premium testing. Firstly, analyze the applicability of the liquidity measure index comprehensively. Combined with the domestic market, put forward the construction principle and method of the liquidity measure index, and select the suitable index for the study, then build a comprehensive liquidity ind ex by factor analysis. Secondly, On the basis of reviewing the theory of liquidity premium.With reference to method of constructing the liquidity premium test model,introduce the liquidity factor to the traditional asset pricing model to construct the liquidity adjusted capital asset pricing model(LA-CPAM). Finally, select the appropriate sample data and measurement methods to carry out empirical analyses. Research findings are as follows. Market liquidity has a significant impact on the stock returns, and there is a significant liquidity premium effect in the small and medium board market in China. Empirical results showed that the LA-CPAM model based on the comprehensive liquidity index factor is effective for the small and medium plate market, and the model can explain the stock return rate. At last, this thesis puts forward some countermeasures to the supervision department, the manager and the investors in the securities market,aiming at the urgent need to maintain the market liquidity.