The Influence Analysis Of Liquidity To Stock Pricing

Liquidity has the risk that generally refers to investors in the asset market can not timely carry on the stock transaction at a low cost, that is, the flowing uncertainty brings risk. Whether the liquidity affects the asset price and how it affects the asset pricing in the field of financial economics has been a hot topic.Amihud and Mendelson (1986) have conducted the groundbreaking research to this question. They embarked from the transaction microscopic cost, used the bid-ask spread as a measure of liquidity way, inferred the relations between the expected return and bid-ask spread, that is, the liquidity is an important factor of asset pricing, low liquidity asset has a high expected return and high liquidity asset has a low expected return.This article firstly introduces the related concepts of liquidity, analyses their market characteristics, scope, measure method as well as the influencing factors, points out that the liquidity size and its fluctuation rate having effect on the asset's expected return should be reflected; Measuring the liquidity with the liquidity substitution targets, measuring the liquidity fluctuation rate with the size of liquidity deviating its mean value. Has given a new method computed liquidity relative size and inferred the capital asset price model; Choosing one stock respectively from our country Shanghai A-Stock Market six different professions to carry on the empirical analysis. The final conclusion show that the liquidity has the important influence assuredly to asset pricing, the liquidity premium common existence in Chinese Stock Market, lower liquidity request a high expected return to compensate; If classifying the stocks according to different industries, then the liquidity difference is remarkable between the various industries and briefly analyses the reasons of producing this differences. The final part of the paper is conclusion and puts forward some new questions...