7431 
11049换手率可以作为股票流动性的代理指标，与股票预期收益之间的负向关系被认为是流动性溢价存在的证据。换手率也可以用来衡量股票的不确定性，与股票预期收益之间的正向关系被认为是对不确定性风险的补偿。显然，这两种对换手率风险信息的解读不尽相同。文章以2000年1月至2015年6月的深沪A股为对象，发现整体而言换手率低的股票比换手率高的股票有更高的风险溢价。然而，在换手率较低的股票中换手率可以正向预测收益，在换手率较高的股票中换手率却可以负向预测收益，即股票横截面预期收益是换手率的先增后降函数。在此基础上，文章以换手率对收益的预测方向发生转变作为换手率水平的分界点，发现不确定性能够显著解释低水平换手率与预期收益的正向关系，而流动性能够显著解释高水平换手率与预期收益的负向关系，表明低水平换手率更多包含股票的不确定性信息，而高水平换手率则更多包含股票的流动性信息。文章通过分析换手率的风险溢价，明确了换手率的风险信息，为风险识别和市场监管提供理论指导。
换手率：流动性还是不确定性
摘要
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引用本文
邢红卫, 刘维奇. 换手率：流动性还是不确定性[J]. 上海财经大学学报, 2018, 20(5): 58-71.
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