FINANCIAL MANAGEMENT · Volume 46, Issue 3· 2017

市场的流动性不足和条件股票溢价

作者：Hui Guo (University of Cincinnati), Sandra Mortal (University of Memphis), Robert Savickas (George Washington University), Robert Wood (University of Memphis)

摘要：我们检验了加总的买卖价差与条件股票溢价在时间序列上的相关性。我们证明只有在控制了平均特质方差时，市场平均相对有效买卖价差才能预测加总的市场回报率。这种方法还使得我们证明了流动性不足和回报率之间其他的难以捉摸的相关性。因为特质方差与报价差价正相关，但却与条件股票溢价负相关，这引起了遗漏变量偏误。我们的结果在标准的回报率预测变量、市场流动性不足的其他测度方式以及样本外检测中都是稳健的。这些结果很重要，因为它们为学术文献中的市场流动性是一个重要资产定价风险因子的猜想提供了有力的支持。

Market Illiquidity and Conditional Equity Premium

Hui Guo (University of Cincinnati), Sandra Mortal (University of Memphis), Robert Savickas (George Washington University), Robert Wood (University of Memphis)

ABSTRACT

We examine the time-series relation between aggregate bid-ask spreads and conditional equity premium. We document that average marketwide relative effective bid-ask spreads forecast aggregate market returns only when controlling for average idiosyncratic variance. This control allows us to document the otherwise elusive relation between illiquidity and returns. The reason is that idiosyncratic variance correlates positively with spreads but has a negative effect on conditional equity premium, causing an omitted variable bias. Our results are robust to standard return predictors, alternative illiquidity measures, and out-of-sample tests. These findings are important because they provide strong support for the literature's conjecture that marketwide liquidity is an important asset pricing risk factor.

原文链接：

http://onlinelibrary.wiley.com/doi/10.1111/fima.12162/full

翻译：吴雨玲