流动性、公司规模和账面市值比的关系研究

摘要

Based on the testing for stationary and co-integration of liquidity, firm size and book-to-market ratio, the paper studies the dynamic relationship among liquidity, firm size and book-to-market ratio by applying generalized impulse-response function. It is found that liquidity affects firm size and book-to-market ratio with a longer continuity than the effect of firm size and book-to-market ratio on liquidity. This indicates that liquidity can be a surrogate for firm size and book-to-market ratio in explaining asset returns.%在对流动性、公司规模和账面市值比进行平稳性和协整性检验的基础上,运用广义脉冲响应函数,研究了流动性、公司规模和账面市值比之间的动态关系.研究发现,流动性对公司规模和账面市值比的影响是长期的,而公司规模和账面市值比对流动性的影响则是短期的.这表明在解释资产收益方面,流动性因素对公司规模和账面市值比具有替代作用.