本研究探討流動性在資產定價的角色，以每月上海證券交易所A、B股為樣本，實證期間為2000到2009年。採用過去文獻上最為廣泛使用的兩種流動性指標: Datar et al. (1998) 週轉率用來衡量交易量面向的指標與Amihud(2002) 非流動性指標用來衡量價格影響的指標。所探討的資產定價模型有：Sharp et al. (1965)資本資產定價模型、Fama and French (1993)三因子模型、Chan and Chen（1991）流動性調整的四因子模型及流動性三因子模型之比較分析。實證結果發現，流動性因子能取代規模因子解釋投資組合溢酬，因此支持流動性三因子模型能取代三因子模型解釋股票風險溢酬。此外，就A、B股比較，所有模型均是B股的配適度解釋力較佳，原因在於B股上市公司之類股特性較高，市場系統性變數解釋力較佳。

In this paper, we investigate the asset pricing role of liquidity. Our analysis employs monthly data of A-stock Market and B-stock Market of Shanghai Stock Exchange, covering the sample period 2000 to 2009. We provide a comprehensive analysis by using two widely adopted liquidity measures, including Turnover Rate (Datar et al., 1998) of the trading quantity dimension and Illiquidity Factor (Amihud, 2002) of the price impact dimension. The models considered include the capital asset pricing model (CAPM; Datar et al., 1998), the three-factor model (Fame and French, 1993), the Liquidity-Adjusted three-Factor Model and the Liquidity-Adjusted four-Factor Model. The key finding of our research is that the liquidity factor subsume the explanatory power of Size factor, thus the Liquidity-Adjusted three-Factor Model instead of the three-factor model is able to explain Equity Risk Premium. Besides, We Compare B-stock Market with A-stock Market, and all models have better explanatory power from B-stock Market. The reason is that the stocks of B-stock Market have more consistent characteristics of the market, hence have better explanatory power of systemic variables.

第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 4
第三節 研究架構 4
第二章 文獻探討 6
第一節 流動性的定義 6
第二節 流動性的測量方法 7
第三節 證券定價模型 9
第三章 研究方法 14
第一節 樣本、研究期間與資料來源 14
第二節 變數操作性定義 14
第三節 證券定價模型 17
第四節 被解釋變數投資組合 21
第四章 實證結果分析 23
第一節 基本統計分析 23
第二節 因子溢酬差異檢定 26
第三節 上證A、B股間報酬與流動性差異 27
第四節 證劵定價多元迴歸分析 28
第五章 結論 45
附錄A 週轉率流動指標迴歸估計結果 50

中文部分：
胡凱文(2006)，台灣股票市場流動性實證-使用Amihud(2002)指標，國立臺灣大學財務金融學研究所碩士論文。
洪瑋蔆(2009)，公司特性、流動性風險與股票報酬之研究-以台灣上市公司為例，東吳大學商學院企業管理學系碩士論文。
柯冠成(2008)，因子、特徵與資產定價異常，國立中央大學財務金融研究所博士論文。
張炳川(2001)，橫斷面解釋因子、價量與股票報酬之關係，國立清華大學經濟學研究所碩士論文。
詹場、胡星陽 (2001)，流動性衡量方法之綜合評論，國家科學委員會研究彙刊：人文及社會科學，11(3)，205-221。
鄭凱文 (2009)，股票流動性與投資風格，中興大學財務金融系所碩士論文。
鄭素敏 (2009)，日本股市條件資產定價模式之無母數迴歸分析，國立東華大學企業管理所碩士論文。
吳文鋒、芮萌和陳工 (2003)，中國股票收益的非流動性補償，世界經濟，第七期，54-60。
俞琳 (2005)，中國股票市場流動性實證研究，廈門大學金融研究所碩士論文。
劉洋、劉善存 (2008)，上海股票市場系统流動性風險溢價研究，管理學報第五卷第二期， 263-268。
陳青、李子白 (2008)，我國流動性調整下的CAPM模型研究，廈門大學金融研究所碩士論文。
李學峰、符琳杰和劉喆 (2008)，流動性對我國A、B 股收益率的影響與差異基於深圳證券市場的實證研究，金融發展研究第二期，57-61。
歐新成 (2010)，系統流動性與風險定價，交通大學財務金融研究所碩士論文。




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