Critical Finance Review 2019, Vol 8-2

非流动性与股票收益：横截面和时间序列效应：复制

作者：Larry Harris (USC Marshall School of Business),

Andrea Amato (UC Berkeley Haas School of Business)

摘要：本文复制和扩展了Amihud（2002）将流动性与资产定价联系起来的研究。使用当前版本的CRSP数据集，我们获得的结果与Amihud提供的结果基本相同。把同样的方法应用于最近的数据表明流动性和资产定价之间存在弱相关性。最后，我们将Amihud的非流动性测度的解释力与其他使用相同数据的简单测度的解释力进行比较。我们发现，Amihud的非流动性测度并不比简单的测度好。

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

Larry Harris (USC Marshall School of Business), Andrea Amato (UC Berkeley Haas School of Business)

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.

原文链接：http://cfr.ivo-welch.info/readers/2018/harris-amato-2018.pdf

翻译：董宇佳