中文摘要：

文章通过对股票可交易过程的分析,提出可交易价值的概念并指出价格、流动性和波动性是构成可交易价值的主要因素,并在CAPM模型的基础上建立基于可交易价值的资本资产定价模型。进而运用横截面回归法对我国沪深A股市场的日交易数据进行实证,指出日风险收益率与股价和换手率正相关、与波动率负相关,与系统风险因子无关。经过对比,本文模型优于Fama-French三因子模型。因此,以日收益为代表的短期收益率,是与本文提出的可交易价值息息相关的。

英文摘要：

After the analysis of stock’s marketability process,the paper gives a definition of capital assets’ marketability value,points out that the price of stock,the liquidity and the volatility are the main factors which may affect the marketability value of stocks.Then,a capital assets pricing model with the marketability value is built based on CAPM and the daily data of Shanghai and Shenzhen Stock Markets of China is selected to test the model.The empirical analysis shows that the new model can explain the daily return of Shanghai and Shenzhen Stock Market and it is better than the traditional Fama-French Three Factor Model.