Critical Finance Review(Forthcoming)

对《非流动性与股票收益：横截面和时间序列效应》的复制

作者：Lawrence Harris (University of Southern California), Andrea Amato (University of California, Berkeley)

摘要：本文复制并扩展了Amihud (2002)的研究，他将流动性与资产定价联系起来。使用当前版本的CRSP数据集，我们获得了与Amihud呈现的基本相同的结果。将相同的方法应用于最新的数据显示流动性与资产定价之间的相关性弱了许多。最后，我们比较了Amihud非流动性测度与使用相同数据进行计算的其他简单测度的解释力。我们发现， Amihud非流动性测度并不比简单的测度更好。

关键词：流动性、非流动性、Amihud测度、资产定价

Illiquidity and Stock Returns: Cross-Section and Time-Series Effects: A Replication

Lawrence Harris (University of Southern California), Andrea Amato (University of California, Berkeley)

ABSTRACT

This paper replicates and extends the Amihud (2002) study that links liquidity to asset pricing. Using the current version of the CRSP dataset, we obtain essentially the same results that Amihud presents. The same methods applied to more recent data show a much weaker relation between liquidity and asset pricing. Finally, we compare the explanatory power of Amihud’s illiquidity measure to that of other simple measures that use the same data for their calculation. We find that the Amihud illiquidity measure is no better than substantially simpler measures.

Keywords: Liquidity, illiquidity, Amihud measure, asset pricing

原文链接：https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2901327

翻译：任兆月