Purpose

This paper aims to empirically examine the relationship between stock liquidity and asset pricing, using a new price impact ratio adjusted for free float as the approximation of liquidity. The free-float-adjusted ratio is free from size bias and encapsulates the impact of trading frequency. It is more comprehensive than alternative price impact ratios because it incorporates the shares available to the public for trading.

Design/methodology/approach

The authors are using univariate and multivariate econometric methods to test the significance of a newly created price impact ratio. The authors are using secondary data and asset pricing models in their analysis. The authors use a data sample of all US listed companies over the period of 1997–2017.

Findings

The authors provide evidence that the free-float-adjusted price impact ratio is superior to all price impact ratios used in the previous academic literature. The authors also discover that their findings are robust to the financial crises between 2007 and 2009.

Originality/value

This is the first comprehensive study on a newly established price impact ratio. The authors show the significance of this ratio and explain why it is superior to all previous price impact ratios, established in prior research.

中文翻译：

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流动性和资产定价：来自新的自由流通量调整价格影响比率的证据

目的

本文旨在实证检验股票流动性与资产定价之间的关系，使用根据自由流通量调整的新价格影响比率作为流动性的近似值。自由流通量调整比率不受规模偏差的影响，并囊括了交易频率的影响。它比其他价格影响比率更全面，因为它包含了可供公众交易的股票。

设计/方法/方法

作者正在使用单变量和多变量计量经济学方法来测试新创建的价格影响比率的重要性。作者在分析中使用了二手数据和资产定价模型。作者使用了 1997-2017 年期间所有美国上市公司的数据样本。

发现

作者提供的证据表明，自由流通量调整后的价格影响比优于以前学术文献中使用的所有价格影响比。作者还发现，他们的发现对 2007 年至 2009 年的金融危机具有稳健性。

原创性/价值

这是对新建立的价格影响比率的第一次综合研究。作者展示了该比率的重要性，并解释了为什么它优于先前研究中确定的所有先前价格影响比率。