| Asset pricing is one of the core tasks of finance.The classic capital asset pricing model,arbitrage pricing theory and option pricing theory basically assume that the market is frictionless,that is,the trader's trading behavior will not affect the asset price.They usually ignore the liquidity and liquidity risk in asset pricing.But the stock market is not a perfect market normally and the market friction is one of the most important problems that exit widely.Liquidity costs and liquidity risk are considerable.The size of the liquidity costs or if there any excess return when bearing liquidity risk is the main mission of this paper.Four indicators are selected in this paper.The first one is price indicator which represented by relative spread.The second is quantity indicator which represented by turnover.The third is hybrid indicator which represented by ILLQ and the last one comes from the model created by Pastor and Stambaugh.Firstly,the paper proved the existence of commonality in liquidity which means the systematic liquidity risk exist in china's stock market.Secondly,this paper provided some evidences about the existence of nonsystematic liquidity risk and there were excess return for nonsystematic liquidity risk in short term but not in long term.Also most of the nonsystematic liquidity risks are diversified when a portfolio combined the number of stocks reached 20.Finally,the article made some researches about the efficient of the asset pricing in CAPM,Fama French model and the liquidity model.Results show that the liquidity mostly are not priced in single stock but priced in nearly 30% of the portfolios.The differences of the efficient in liquidity asset pricing are large between policy period and non-policy period which showed that the china's stock market is heavily affected by the government's policies.Otherwise,this paper also proved the scale effect,price effects,price-earnings ratio effect and book value-earnings ratio effect in liquidity exist obviously. |
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